the most largely used proxy package used on *nix, is squid (with or without cadanse filter).
Squid is very powerful, and flexible. But configuration can be daunting, when setting it up for the first time.
to think of it, i believe there are GUI's for squid available, which let's you "easily" configure
it visually, but i'm not sure.
If squid isn't what you want, need, etc...
you could just try looking up the word proxy in synaptic (package manager, under system menu), and see what results it returns (and check the description, maybe something in there might be what you want, if again, squid isn't what you want)