This isn't something I talk about on here, but I've been part of the underground password cracking scene as far as website authentication is concerned. I've been in and out of the scene in the last couple years, but I still indulge every now and then (only adult authentication sites though).
Anyway, a few months ago, I was entertaining the thought of creating a PERL script which will actually identify if you're using a proxy or not, even if the proxy is completely anonymous (some in fact aren't), and Socks. It's actually my own concept. I could also program it in Java and HTA, but I'm a bit rusty at the moment in PERL and Java. Regardless, it's possible to do, even if the results aren't going to be 100% accurate, but close to it.
Re: the proxy-checking program alluded to above at
http://www.maxmind.com/app/proxycheck , it seems they check open proxies based on certain port #s. My method is much different and more unique in nature. Port-checking is also time-consuming and some ISPs block certain outgoing non-standard ports anyway.
Maybe when I have more time I'll do it just for fun, although many people use proxies to hide from the **AA, so it might not be a wise idea to block proxies afterall, since I might in fact be doing a disservice. But I'm sure the **AA use proxies themselves. Despite all the hammering they get, they're not exactly complete dummies.