For the unfamiliar, Hola Unblocker is a popular Chrome extension and Windows application that allows you to easily proxy to foreign connections. This is especially useful for people who want to access content on Netflix that is available in the UK but not in the US, and vice-versa. It's advertised as a one-click solution that you don't have to think about, and you'll often hear users say things like, "just install this, click this button, and you'll be able to access more Netflix shows!"
On their site they say that by using Hola you can:
Bypass Internet censorship
Speed up your web browsing
Save on bandwidth costs
Improve your privacy online
The application is closed-source and they're very vague on their site, but what I've surmised is that when you install the Windows or Android application you add your connection as a node in the network, and there's a matchmaking service where you broadcast your availability both as a client and as an endpoint. This means you can proxy your connection to other users on the Hola Unblocker network, and they can proxy through you. There's also some kind of P2P CDN layer that caches content, which they claim speeds up your connection. Although the users operate the endpoints, the makers of Hola Unblocker occasionally serve you ads over the connection, collecting the revenue.
The core issue I want to bring up is that the full application (and maybe the extension) operates as an exit node on the public Internet: something most people are very reluctant to do when it comes to other proxy services, such as Tor. By making your connection available to anyone online you're incurring risk, and Hola Unblocker doesn't tell you about this. It's entirely feasible that someone will use your connection not for Netflix, but for content that's illegal in your country.
http://hola.org/faq.html
Hola Unblocker doesn't make any distinction between acting as a client and a server...Like I said, they're extremely vague on their site. Their download page also preferentially serves you the full application and makes absolutely no mention of the implications of what you're running (nor does their FAQ):
https://hola.org/download.html
TL;DR: Running the Hola Unblocker application turns your connection into a public exit node on a P2P network. It allows people can to use your Internet connection and potentially access illegal material.