This all depends on the proxy itself. A proxy intercepts, and redirects. Everything going towards the Internet was intercepted, but it doesn't mean that all was readable. When you log into certain sites (banks, to buy something) most use SSL which means that, unless the proxy was intercepting with a trusted certificate, most data would be encrypted. If in the event the proxy intercepted SSL, and was capable of forging a certificate, or making you believe a certificate was trusted, then you're data is readable. You would have gotten a certificate error via your browser: "Warning this site uses an untrusted certificate..."
Can you elaborate more on the proxy server. E.g. the IP (if possible). Some ISPs use proxies (rare) to cache and provide content quicker.
The IP space belongs to Strato in Germany http://bgp.he.net/net/126.96.36.199/15#_whois and is listed in a lot of "free proxy" like sites. The bigger question for you is, how did your machine manage to get proxied in the first place. This is likely caused by some form of malware that made its way onto your machine if you did not configure that proxy. As noted, SSL could have been stripped so that is something to take into consideration.
Personally, I would try and determine how my machine got compromised, I would clean it up, preferably re-install from a clean source, then go and change all my passwords AFTER the fact I cleaned up. (Makes no sense to type much via way of credentials when you don't know what's on your machine)