You can use Mac OS X's "Erase Free Space.." option in Disk Utility to do a 7 or 35 pass Zero Deletion of "Deleted" Data or entire volumes.
I've run into this concern, too. I was surfing through 4chan and saw some questionable pictures, and immediately got freaked out, cleared my browser cache, and have vowed to never go back to 4chan simply because there MIGHT be a chance I could get in trouble for it.
However, the rational part of my brain says that unless you're doing a lot of uploading and/or downloading of illegal content, get caught clicking a link that turns out to be an FBI sting, or are trying to get 13 year old girls to sleep with you via MSN Messenger, you probably don't have much to worry about. I'm sure the feds have bigger fish to fry than internet geeks who are cruising imageboards.
Also, I think that using a proxy is even MORE suspicious, but I guess some people do use them for valid reasons. I, personally, try my best to stay away from any sites that could have illegal content on them. That way I don't have to be paranoid at the feds bugging me. At least not for looking at inappropriate content. =)