My personal pick is this perl CGI proxy written by J Marshall.

I haven't bothered playing around with it in any serious sense but it's small enough to be vaugely editable.

Update: The link is now demangled.

A late Update: I've also had use for this proxy in expanding Telstras rather silly choice of names for internal cable servers (eg. www? Why not just name it Localhost and *really* put my DNS through a loop).

Yet another Update: Mr Marshall has been nice enough to provide a new version as of this morning. Freshmeat will no doubt provide the required details upon request.