OpenSSH also includes a SOCKS proxy which you can use with no additional software: https://ma.ttias.be/socks-proxy-linux-ssh-bypass-content-fil...
Whether it grants you any significant anonymity is debatable, but it works well for evading content filters and tunneling your traffic onto a more trustworthy network.
Speaking from experience, sshuttle is way easier and more robust than using OpenSSH's built-in SOCKS proxy.
I use sshuttle all the time when working from "restricted" networks (car dealerships, airports, etc.) For some reason, my local Honda dealer has a guest WiFi that restricts outgoing traffic to a small number of ports, and apparently SSH isn't on that list, so I can't push/pull to GitHub. Firing up sshuttle on port 80 punches right through the filter and allows me to do real work while I wait for my oil change.
e.g. run this from the command line:
[0] https://github.com/sshuttle/sshuttle