The router probably can't handle a lot of traffic, so this is probably a 1-user option, but it's handy if, for example, you need to use HTTP(S) from behind a firewall that only allows SSH out, or if you're in a place (school, job, country) that might be interested in your browsing habits.
I would advise setting up the firewall to only allow the ssh port (22) in from the Internet. If you're not careful you'll be offering proxy service to the world!
Obviously you can do this with other proxy programs (IMAP, POP, etc.,). I've only done it with HTTP(S). You need a proxy program that's small and doesn't cache (doesn't use disk for temporary storage, in other words). I've used two:
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