This paper presents a state‐of‐the‐art review of the Web privacy and anonymity enhancing security mechanisms, tools, applications and services, with respect to their architecture, operational principles and vulnerabilities. Furthermore, to facilitate a detailed comparative analysis, the appropriate parameters have been selected and grouped in classes of comparison criteria, in the form of an integrated comparison framework. The main concern during the design of this framework was to cover the confronted security threats, applied technological issues and users' demands satisfaction. GNUnet's Anonymity Protocol (GAP), Freedom, Hordes, Crowds, Onion Routing, Platform for Privacy Preferences (P3P), TRUSTe, Lucent Personalized Web Assistant (LPWA), and Anonymizer have been reviewed and compared. The comparative review has clearly highlighted that the pros and cons of each system do not coincide, mainly due to the fact that each one exhibits different design goals and thus adopts dissimilar techniques for protecting privacy and anonymity.