Just yesterday, me and the other sysadmins were talking about a technology built into IE for doing this. I can't remember what it was called, but it was something like IE Config Packs.

Basically, it was just a bunch of C style if statements for figuring out what your proxy settings should be.

We were going to use it for our laptop users who have broad band at home and wouldn't be able to use our proxy without using the VPN.

I'm sure someone else out there will know what I'm talking about.