If you use tsocks, you can proxy just about anything. My personal favourite is to use SSH to a server in the US, using the -D option to open up a SOCKS server locally. I then point tsocks at it and bingo, any app I open using tsocks goes through that server and thus I appear to be in the US to the remote host.

Y'know, just as an example.

[edited: I should point out, though, that I've just disabled the ability of the Dreamhack server to allow connections of this type through SSH; on any actual multi-user server this should be the case really, so...]