VPN
In a nutshell a VPN service helps to protect your privacy with masking your IP address and encrypting Internet traffic. When connected to VPN server your traffic is encrypted in the VPN tunnel acting as a proxy for your desired website.
Since you're connecting via the VPN tunnel, the websites that you access can only see IP of the VPN server, not original IP of your device. Also since you're in an encrypted tunnel, no one, including hackers and your ISP, can snoop on your web activity or steal your sensitive information.
PROXY
When it comes to security, proxy provides low-level security unlike VPNs. Also most proxies are very slow and unreliable since they are usually free and are used by unlimited number of people. They mostly only used to bypass geographical restrictions, but provide minimal security and privacy. Checkout the VPN v Proxy Comparison link for more info.
Both Tor and Proxy are free, which is OK if you're not looking for great speeds and online security rather than simply anonymity.
With a VPN you have the following:
Connection speed is a lot faster through VPN tunnel compared to Tor and Proxy
Provides better privacy and security than Tor and Proxy
More reliable and stable connection.