The logs are there, sure. It doesn't mean they have to look at them but if they say they do (and even if it's just the IT guy trying to exert power), I'll tunnel my traffic. This is not about having something to hide, this is about privacy and of course you need privacy even if you're working. They shouldn't be interested in anything else than the work I do. People were outraged when a supermarket chain here used cameras and other tactics to control their employees and rightfully so. Imo, checking logs isn't much different if you have an office job. As an employer, you have to trust your employees at least that much or why are you even employing them.
Whaaaaaat? No, you don't get any privacy as far as connection use goes at work. You're at work, to work and do the job you're paid to do.
Some employers might need to monitor outgoing traffic to ensure that workers are spending their time working and not spending their time on Facebook. Just because you have a computer with access to the internet doesn't give you any privacy rights.
These two scenarios are pretty synonymous from a company POV:
If I ran a builders company, I'd want to make sure the workers stayed on the building site and didn't spend all day on coffee breaks instead of working.
If I ran a call centre, I'd want to make sure the workers kept taking / making calls didn't spend all day facebook / twitter instead of working.
Personally, at the technology companies I worked at there wasn't any real monitoring of traffic, but at all of the investment banks there is a filter and a number of security restrictions (including: social networks, web mail services, in some cases all https traffic)
As mentioned, you're obviously well within your rights to go ahead and use the internet connection on your phone or invest in a dongle to allow you to use a separated connection, but if you think you're entitled to any privacy on your usage of a work computer on a work internet connection, you're dead wrong.
My old man used to work for the federal government, and even as recently as a couple years ago they wouldn't allow personal email on work machines. They blocked access to yahoo and gmail at the network level. Too much of a security risk of getting malware on a networked machine.
This is common practice for any regulated financial services company here in the UK too.