SOCKS is a special protocol to runnel traffic through a server. socks4=easiest, socks4a is with login/password, socks5 is the with dns resolve
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CONNECT is a special command you send to webservers who can also tunnel any traffic/protocol after established
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WEB is the only type of proxy that can only be used for WEB traffic where you connect to the server and send almost the same query you would do to a normal webserver, but with full path and login/password as parameter (optional).
If possible take SOCKS as they are 100% anonymous and do not leak your real IP. Same applies for most CONNECT servers. But WEB is often sending the IP or at least identifying itself as a proxy to the end website.
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