proxies and firewalls

[Hiren]

greetings all

i often come across proxies and firewalls under the security section of
tutorials and guides, i have read that one can create proxies of any
internet service like ftp www etc. 
my question is what exactly is a proxy and how does it play a role in
security, why and how does it replace NATing, and how does it play a
role in security with regard to NAT. what services can be proxied, is it
worth having and general advice.

thanks all
Hiren.