Here's how you can make a proxy server with squid3. If you do this on a VPS with a service provider that allows it, this will allow you to browse the web from your home computer as if the requests were coming from your web server. This is useful for a lot of different purposes.

Start with the default config file /etc/squid3/squid.conf. We are only going to add some extra lines to change some things from their default. Add them to the config file in the appropriate section where each option is discussed in comments/used.

acl myip src 12.34.56.78
http_access allow myip
maximum_object_size 0 KB
minimum_object_size 0 KB
access_log none
cache_log /dev/null
request_header_access Via deny all
request_header_access X-Forwarded-For deny all
request_header_access Cache-Control deny all
dns_v4_first on
forwarded_for transparent

Once you're done, restart squid and you're ready to go (set proxy options in Firefox or whatever).

service squid3 restart

A few notes:

• the “myip” stuff in the first two lines is just so that you don't run an open proxy. This is making it so only your client IP (as an example, 12.34.56.78) is allowed to connect to this proxy server. You should also block access in your firewall to the squid port (3128 by default) to any IP other than yours. These are safety precautions so you're not running an open proxy. Open proxies can and will be discovered and abused by random people on the internet, so you should definitely not allow them.
• I turned off the logs. You can turn them on if you want, but I suspect it will use up a lot of disk space.
• I use the dns_v4_first option because I had trouble with IPv6 connectivity. YMMV.