There are at least 2 ways to do this, depending on your setup.
Can I make Squid go direct for some sites?
Sure, just use the always_direct access list.
For example, if you want Squid to connect directly to hotmail.com servers, you can use these lines in your config file:
acl hotmail dstdomain .hotmail.com
always_direct allow hotmail
If you have trouble with this, check the version of squid you use, and search the squid faq (link above).
2) use the proxy section of the network setup in firefox or konqueror (or whatever browser you use) to not access the proxy for listed sites.
I use this as my main pc is the proxy and gateway server.