Well I'll throw my solution in as well. However, it is only intended for web traffic, nothing else (useful for getting around firewalls, filters, etc..)
I have squid running on a vps, but NOT exposed externally (and it has basic auth). Then just set up an ssh tunnel "ssh -f user@mydomain.com -L 3128:mydomain.com:3128 -N" and now you have a proxy server available on localhost:3128. Then its as simple as pointing a single proxy supporting app, your OS wide proxy settings, etc.. to localhost:3128 with the correct basic auth credentials and you are in business.
I use this on linux and windows (cygwin) every day, works beautifully
I have squid running on a vps, but NOT exposed externally (and it has basic auth). Then just set up an ssh tunnel "ssh -f user@mydomain.com -L 3128:mydomain.com:3128 -N" and now you have a proxy server available on localhost:3128. Then its as simple as pointing a single proxy supporting app, your OS wide proxy settings, etc.. to localhost:3128 with the correct basic auth credentials and you are in business.
I use this on linux and windows (cygwin) every day, works beautifully