There are many improvements and new features since Privoxy 3.0.6, the last stable release:
Header filtering can be done with dedicated header filters now. As a result the actions "filter-client-headers" and "filter-server-headers" that were introduced with Privoxy 3.0.5 to apply the content filters to the headers as, well have been removed again.
A quick list of things to be aware of before upgrading from earlier versions of Privoxy:
Some installers may remove earlier versions completely, including configuration files. Save any important configuration files!
On the other hand, other installers may not overwrite any existing configuration files, thinking you will want to do that. You may want to manually check your saved files against the newer versions to see if the improvements have merit, or whether there are new options that you may want to consider. There are a number of new features, but most won't be available unless these features are incorporated into your configuration somehow.
standard.action now only includes the enabled actions. Not all actions as before.
Logging is off by default now. If you need logging, it can be turned on in the config file.
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.