It becomes increasingly common for governments, service providers and specialized data aggregators to systematically collect traces of personal communication on the Internet without the user’s knowledge or approval. An analysis of these personal traces by data mining algorithms can reveal sensitive personal information, such as location data, behavioral patterns, or personal profiles including preferences and dislikes. Recent studies show that this information can be used for various purposes, for example by insurance companies or banks to identify potentially risky customers, by governments to observe their citizens, and also by repressive regimes to monitor political opponents. Online anonymity software, such as Tor, can help users to protect their privacy, but often comes at the prize of low usability, e.g., by causing increased latency during surfing. In this exploratory study, we determine factors that influence the usage of Internet anonymity software. In particular, we show that Internet literacy, Internet privacy awareness and Internet privacy concerns are important antecedents for determining an Internet user’s intention to use anonymity software, and that Internet patience has a positive moderating effect on the intention to use anonymity software, as well as on its perceived usefulness.