There are only a few improvements and new features since Privoxy 3.0.10, the last stable release:
The mingw32 version uses mutex locks now which prevents log message corruption under load. As a side effect, the "no thread-safe PRNG" warning could be removed as well.
Support for remote toggling is controlled by the configure option --disable-toggle only. In previous versions it also depended on the action editor and thus configuring with the --disable-editor option would disable remote toggling support as well.
The hide-forwarded-for-headers action has been replaced with the change-x-forwarded-for{} action which can also be used to add X-Forwarded-For headers. The latter functionality already existed in Privoxy versions prior to 3.0.7 but has been removed as it was often used unintentionally (by not using the hide-forwarded-for-headers action).
For a more detailed list of changes please have a look at the ChangeLog.
A quick list of things to be aware of before upgrading from earlier versions of Privoxy:
The recommended way to upgrade Privoxy is to backup your old configuration files, install the new ones, verify that Privoxy is working correctly and finally merge back your changes using diff and maybe patch.
There are a number of new features in each Privoxy release and most of them have to be explicitly enabled in the configuration files. Old configuration files obviously don't do that and due to syntax changes using old configuration files with a new Privoxy isn't always possible anyway.
Note that some installers remove earlier versions completely, including configuration files, therefore you should really save any important configuration files!
On the other hand, other installers don't overwrite existing configuration files, thinking you will want to do that yourself.
standard.action has been merged into the default.action file.
In the default configuration only fatal errors are logged now. You can change that in the debug section of the configuration file. You may also want to enable more verbose logging until you verified that the new Privoxy version is working as expected.
Three other config file settings are now off by default: enable-remote-toggle, enable-remote-http-toggle, and enable-edit-actions. If you use or want these, you will need to explicitly enable them, and be aware of the security issues involved.
The "filter-client-headers" and "filter-server-headers" actions that were introduced with Privoxy 3.0.5 to apply content filters to the headers have been removed and replaced with new actions. See the What's New section above.