VPNs/proxies are great but you need to be careful which ones you use. Some are scams that will actually record and sell your data. Some of the more well-known and trusted ones have been the subject of significant data breaches. There are also trade-offs when using VPNs; generally increased latency and slower download/upload speeds. This can be annoying while gaming or streaming with a VPN.
This should go without saying, but do NOT put personal information on the Internet if you don't wish for it to be public. Even if you think you're doing so in a private context, that information is rarely as secure as you believe. If you make videos or post pictures, be careful not to accidentally include personal information (such as a screenshot of your house revealing your home address). This is sort of a controversial topic, but I would recommend using a pseudonym when a name is required/expected to be associated with an online account (FaceBook is a big offender here).
Keep your passwords for various accounts different as much as possible. Remembering dozens of different passwords can be a chore, but there are
ways to make it easier, or alternatively you could use a password manager (again researching first to make sure it's one you can trust).
Have a good antivirus and run regular scans to keep your system free of any malware that might be recording your data. My personal choice of antivirus is BitDefender; both its free and premium versions have proven themselves more than adequate for me over the 5 years I've been using them. If you use a prebuilt or store-bought PC, I would recommend replacing the antivirus that came with it. It's most likely Norton or McAfee, both of which hog resources and aren't even all that effective at protecting your system against particularly nasty malware. Be aware that uninstalling McAfee via the Software Removal tool often leaves core processes remaining on your PC which are a bit trickier to remove and still use up some resources for essentially nothing.
Having a good feel for when someone's trying to scam you is important. The golden rule of scamming that any MMO player knows is "if it seems too good to be true, it probably is." Nobody's going to trim your armor, and nobody's going to give you 10 million dollars if you just send them your bank account information.
If your bank allows it (and most do), set up a second account and order a separate debit card for it. Use only that debit card online, and when you wish to make a purchase, transfer only the required funds from your main account to the second account. Most banks will allow you to do this via online banking. If you want a further layer of security, use a separate device such as a phone to make the transfer. These added layers of security make it significantly more difficult for someone to access your money even if they get your bank account information, as you will use a separate account to save most of your money when you don't plan on using it.
There are plenty of other tips but those are the basics and will keep you safe from the vast majority of threats you'll encounter online. Most of the people on the other end of these threats and scams aren't 90s dystopian Sci-Fi movie hackers who punch some random keys into their Matrix-looking command shell and suddenly have access to all your accounts, your credit cards, your name, address, and life history. They're fairly ordinary (if unscrupulous) people using fairly mundane tricks to try to get you to give them access to that information. Being aware of that is huge in avoiding it.