Gareth wrote an article on this sometime back. I think some of the comentators found the catch so to speak but I can't quite recall. I'm guessing they maintain server logs to keep themselves covered legally and support it through advertising, which naturally will track you across the Web. But that's purely a guess.
I vaguely remembered something about free VPN before, but I couldn't recall when or where I'd seen it. Changes are it was Gareth, of course.
Sure enough - Gareth posted it back in April: http://forums.bit-tech.net/showthread.php?t=302741&highlight=Opera