Sometimes it's necessary to use a proxy to connect to the internet (workplace insists etc). Doing this in Linux, at a system wide level is actually quite easy:

sudo vi /etc/profile

Add the following two lines, replacing IP/hostname and port as necessary:

export http_proxy=http://192.168.1.1:8080
export https_proxy=http://192.168.1.1:8080

You will need to log out and back in for this to take effect. Now all http and https traffic will run through the proxy in most (all? certainly any that respect the two variables just set) applications