Most organisations will try to use a proxy server with their Windows Azure Service Bus implementation.  This page is intended to collect some information around the different proxy servers and to help everyone understand any tricks or tips associated with each one.

Vendor Product Version Supports Relay Supports Queue and Topic  Supports ACS Notes 
 RedHat Squid  2.6   No  No Yes Squid Proxy 2.6 does not support HTTP 1.1 chunked encoding and you will get the below error. 
System.Net.ProtocolViolationException: Chunked encoding upload is not supported on the HTTP/1.0 protocol
We were able to use the Squid proxy for the ACS transactions related to our service bus implementation but not the relay or queue and topic parts.