ITunes proxy server
I am going to recommend two methods to get things working when under any proxy. I am using Mavericks, but I think these methods should work for any other version of OS X too. Go to second method if you don't want to read through the whole answer.
1. Using Advanced Proxy Settings using Locations in Network Preferences.
I personally shift between various networks regularly. Some of these require a proxy, and others don't, and I find the Locations feature very helpful. I created a "College" location specifically for those networks which require a proxy, in which all networks need a proxy authentication.
All these settings can be accessed from System Preferences -> Network.
You can create a new location as per your needs as shown in the above picture.
Once you're done with the location, connect to your favorite network and click on the Advanced settings.
Go to proxy tab, and set your proxy settings as shown in the image. Notice the *college-domain-here.com in the "Bypass proxy" section below: you can specify those domains here, for which you don't need a proxy server to access. Remember to set HTTP, HTTPS, and whatever other proxies you need - all of them. Forgetting any one of those will cause weird problems like websites loading indefinitely and so on.
I have found this method to be very helpful in most occasions, but I've had my share of troubles with this method. For example, App Store and iTunes Store didn't work most of the time, and a really irritating dialogue box popped up randomly asking for my password, which never seemed to work.
So, here is a better method:
2. Using Authoxy