I was recently involved in the build of a large SharePoint 2013 farm that is behind a Proxy server. Initially, there was no access through to the internet so the install was done using an offline install. This allowed everything to be completed with the exception of the SharePoint App Store and access to external content such as RSS feeds.
Proxy Access
Once Proxy access was granted, the web.config files on each of the servers need to be changed to inform SharePoint to use the Proxy.
Within the web.config file in the system.net node, replace the defaultProxy node with the following node:
<system.net>
<defaultProxy useDefaultCredentials="true">
<proxy usesystemdefault="False" proxyaddress="http://proxyaddress:8080" bypassonlocal="False" />
</defaultProxy>
</system.net>
For an explanation of the defaultProxy node see http://msdn.microsoft.com/en-us/library/kd3cf2ex(v=vs.110).aspx
And for an explanation of the default node see http://msdn.microsoft.com/en-us/library/sa91de1e(v=vs.110).aspx
Adding this node with the details configured correctly for the environment will allow access to the internet through the proxy server and will suffice for access such as RSS feeds.
App Store
Unfortunately the configuration of the defaultProxy node in the web.config is not always sufficient for the allowing access to the App Store.
> netsh winhttp set proxy \[proxy name here\] "\*.SPAppDomain.com;\*.SPWebappname.com”
This solution comes from a blog post by Craig Humphrey tha explains the reasons for having to do this - http://craighumphrey.blogspot.co.uk/2013/07/sharepoint-2013-proxies-crl-checks-and.html