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Has anybody ever thought of a proxy-proxy server? It doesn't have too many real world applications unless you work for a large corporation. Basically you would have a proxy server that uses a proxy server.
Let take a corp that has one central proxy server. Now if each sattelite office had a proxy that was a middlepoint between the corporate office and the end user, this could take a considerable load off of the corporate office's proxy. However for the corporate office to check out who is accessing what, they would have to check the logs of the individual offices proxy.
you can use [php_man]curl[/php_man], [php_man]file_get_contents[/php_man], and the other file url wrappered functions to create your own proxy of sorts.