This is a great link:
http://www.mtu.net/~engstrom/ssh-proxy.php
install corkscrew via apt (synaptic/aptitude/apt-get whatever)
Edit your ~/.ssh/config file:
Host my.server my.other.server
ProxyCommand corkscrew proxy.domain.com 8080 %h %p ~/.ssh/proxy_auth
User remoteuser
in ~/.ssh/proxy_auth put:
username:password
It's a pain if you don't use the Host line because you have to comment the ProxyCommand line when you need to access a local machine (i.e. not through the proxy server)
Talking about proxies... a LONG time ago in another country (oots mon!) I used to use APS - I don't know if I'll need it again, but just in case, there it is.