I know of usual HTTP proxys and Socks proxys (Socks 4 / Socks 5 - where the main difference as far as I know is the support for DNS resolution via proxy).
Both variants more or less "pass the data through" in its original form. So if the target site is HTTPS encrypted, of course the connection will be encrypted. Same goes for Socks proxys.
However what I would like to do is to encrypt the communication between the proxy server and the client regardless whether the communication between the proxy server and the target server is secured or not.
The only software that comes to my mind which does this is TOR (The onion router), however it does much more and is not really what I want.
I am aware of VPN solutions. However I would prefer something which does not need to be configured on that layer of the OS (no extra devices, drivers, software etc.). It would be good if it would be supported by major browsers out of the box.
You may thing of the use case of sitting on a very insecure network (for example a public WIFI) where everyone can sniff your traffic.
You want to securely (however only securely from that wifi) visit a webpage which is only reachable via insecure HTTP.
Now you can connect to the proxy securly and futher insecurly to the website, however this part is out of the insecure wifi.