The easiest and best way to set proxy information on your Linux/Unix machine is with the http_proxy environment variable in your ~/.bashrc,~/.zshrc, or whatever your favorite shell's configuration file is. Set it like this:

[shell]http://user:password@proxy-server:portnum[/shell]

In my brief bit of experimentation, the follow important (to me, at least) command-line tools use http_proxy:

1. wget
2. Python easy_install
3. curl

I've been a Unix user for 14 years -- why did I take me so long to figure this out?