A SOCKS proxy is in a position similar to a router: it sees all traffic. It is thus in ideal position to commit various felonies on your data. You should consider it as you would consider any router on the Internet (including your ISP): it fulfills a service but you do not trust it. Using an external proxy is no less risky, but no more risky either, than doing proxy-less connections(*). The short mantra is: SSL protects you, as well as it protects you over the Internet in general.
The error would be to believe that a proxy which asks for authentication somehow makes your data "secure" in some way. Don't be fooled ! The authentication is for the protection of the proxy, not yours.
A special case is proxies which claim to offer anonymity. Nothing guarantees that; that's a promise the proxy makes and you cannot enforce it. For Tor (Tor is just boosted proxying), risks of hostile proxies is mitigated by chaining them, so that your anonymity is preserved as long as at least one of the proxies is trustworthy.
Of course, if the proxy is your friend and is really trustworthy, then it can help in defeating attackers. For instance, a SOCKS proxy through a SSH connection (
ssh -N -D 5000 othermachine, and set your browser to use 'localhost:5000' as SOCKS proxy) is a cheap but effective VPN for your Web-based traffic, between your machine and the network where
othermachine is located (I was doing that a lot when I was working for a company which was physically on another continent).
(*) Ok, that's not entirely true. Low-grade attackers, as opposed to, say, oppressive governments, could find it uneasy to make Man-in-the-Middle attacks on your data; they would have to ressort to crude methods such as DNS poisoning. If you accept to forward all your data through the attacker's proxy, then you make the task easier for him in practice. But you should not assume that not using proxies makes you immune to low-grade attackers. Also, this does not change anything high-grade attackers who control infrastructure routers: by using their proxy, you are not giving them any power over you that they did not already possess.