Hi mate,
Nope there isnt any risk to speak of in owning a proxy web site. There have been cases where people send for example murder threats or perform illegal activities through your proxy in which the police may request for you to provide them your proxy logs which can be obtained from your host. But there have never been a case of a proxy owner being sued by illegal surfing activities conducted by the user. In any case, it is not common to receive such risky illegal activities so you do not have to worry about it, no risk I say
Are you looking to get a proxy mate?