Proxies are out of my realm of expertise, but I did find a thread about patching drupal_http_request() to handle proxy servers: http://drupal.org/node/7881. I'm afraid it doesn't look done. There's a patch, but it seems to be against Drupal HEAD, which is 7.x.

I had avoided using cURL because there are plenty of people who don't have it enabled, and recompiling PHP is a pain. At this point, I'm not sure which way to jump.