Cloudflare acts as a CDN (content distribution network) and bandwidth proxy for websites allowing them to scale out to more concurrent users then their internal hosting could handle on its own.

As part of this CDN and bandwidth proxy service cloudflare can make content faster to people globally via content caching at cloudflare data centers. Cloud flare helps websites defend against denial of service attacks by keeping those attacks from reaching the internal hosting.

Cloud flare is very popular because they are very good at what they do, and inexpensive for small sites. Because of their popularity they have unparalleled visibility into all internet traffic. In some respects CloudFlare is the internet! That means cloudflare can track most users across most websites throughout the day, they have perfect visibility into most internet traffic.

Some people are uncomfortable with a single entity having so much concentrated information. It is a concern.

If you use a VPN cloudflare still gets to inspect your cookies, and depending on site configuration, block VPNs entirely. In fact, cloudflare is one of the single biggest blockers/hurdles for using TOR as a web browser.

Alternatives to cloudflare include:

1. No CDN, host directly.
2. Use a different CDN
3. Use a hosting platform that has their own CDN built in (such as github).