I just installed privoxy on OS X 10.6 and it wouldn't start, although launchctl thought it did. The reason was that the config file looks for the default files in . and it cannot find them.
My workaround was to add "/usr/local/etc/privoxy" as the working directory in /Library/LaunchDaemons/org.ijbswa.privoxy.plist
Alternatively one could change the /usr/local/etc/privoxy/config