Is there any reason to setup and use proxy servers these days?

Definitely there are many reason to use proxy servers

1.To protect User details and company details.

2.To bypass Websites.

3.if u some work servers illegal they block your site ip, you can't access them again, proxy give u benefit at this point.

yes to save bandwidth & to control what Websites that users can access and controlling downloads & videos streaming

act as a filter to save bandwidth can control what Websites that users can access on the internet and what is not allowed reduce internet traffic 

controlling downloads ,videos streaming, .......etc  

within an organization its still very essential step to use proxy server to maintain usage policies along with terminating abuse of certain softwares in work environment.