A VPN just tunnels you into another network as if you were part of that network... ie, you just tunnel into a network that's presumably in the US, then browser as if you were in that network. If it's free, go for it, but don't expect it to be fast.
A proxy does the same thing... you connect to another server, which then downloads the content for you, then transfers it to you. If that proxy server is in the US, it would appear to the end site that you're in the US.
Personally, I think all the region limiting stuff is moronic. If I had the time I'd be tempted to write proxy software that runs on my web space...but yea, I'm pretty booked up with projects at the moment.
As for negatives, no, there aren't any other than speed. With either VPNs or proxies you'll be speed-limited depending on how busy they are. Plus VPNs encrypt all your traffic (at least from you to the host network) so there's all that protocol-overhead you have to worry about.