While I am not gay myself I am old enough to remember the era in the past of people going out at night "gay bashing" (or queer bashing as it was then). Finding places where gays meet up and beating them up for the "fun" of it.
I have also read in the past of gay people being blackmailed by ex lovers.
Also the way we treated people like Alan Turing (who worked at Bletchley Park during WW2 on the enigma code and almost invented the programmable computer himself).
He was gay, and when this was found out he was forced to take tablets to reduce his sex drive (and shrivel up his testicles). If he had not taken the tablets he would have gone to prison and not been allowed to work on these secret missions anymore. Eventually he committed suicide.
http://en.wikipedia.org/wiki/Alan_Turing
So these people at gay pride marches are proud of the fact they can now shout out that they are gay without the risk of being beaten up, sent to prison, or being blackmailed.