The only thing I come up with when trying to search for proxy support in Drupal is http://drupal.org/node/7881. I'm on 5.x and wish that all internet requests go through our proxy, local intranet requests going through it would be fine too as they would still resolve. I wanted to ask here before I go hacking up my common.inc file.

Our server is powered by Red Hat Enterprise Linux AS release 4 (Nahant Update 7). On a non-drupal note I'm not sure if my hosting team will go for this but virtual machines in vmware can be configured to use the proxy without adding this functionality on a per-application basis. If anyone has a more robust option such as per-user proxy use so that the www user's calls are the only one's that go through a proxy please share