Dnet's quotation:
With this proxy, you can serve distributed.net clients. It allows you to establish one of your own machines as a buffer between your clients and one of the keyservers that are officially run by the distributed.net organizers. This will allow your clients to waste less time trying to connect to one of the main proxies, since the personal proxy will already have more key blocks waiting for your clients when they're ready.
Running a personal proxy is definitely not needed by everyone, nor is it universally recommended. You should only run a personal proxy if you are very confident of your abilities, and you have a very weak, unreliable, or intermittant connection to the Internet to directly contact one of the servers.