KnProxy
Lightweight, PHP, cURL based HTTP/HTTPS Web Proxy
...It should work out of the box. No configuration needed. For educational purposes. For a full proxy (that deals with connections), see http://sourceforge.net/projects/level5/
Note: Please post bugs/questions/feature requests on the Tracker or Forum. Also, active development for this project has transfered to GitHub at https://github.com/jabbany/knProxy .