Yesterday I got Dante working. It's a nice SOCKS compatible proxy. No big deal, but I wasn't forced to use one until now :)
I didn't hope generic proxying could be so simple (although the concept is a bit hacky, via a port redirector, it could be much easier, but quite less flexible). For http caching, squid still rules, although rproxy looks very interesting :)
Oh, and I just found gorgo, he's not quite verbose in these pages..