A proxy is "an interface for a service, especially for one that is remote, resource-intensive, or otherwise difficult to use directly". Source: Proxy - Wiktionary.
Some programs (like wget) use environment variables of the form "protocol_proxy" to determine the proxy for a given protocol (e.g. HTTP, FTP, ...).
Below is an example on how to set these variables in a shell:
http_proxy=http://10.203.0.1:5187/ export http_proxy
libproxy (which is available in the extra repository) is an abstraction library which should be used by all applications that want to access a network resource. It still is in development but could lead to a unified and automated handling of proxies in GNU/Linux if widely adopted.
It is already required by libsoup.