Hi I personally use phpproxy because it is very easily customisable providing you have some basic php knowledge.
I think Glype is the best amongst all the proxy scripts I have tried. Initially I had good run with PHProxy script as it is very easy to customize. But since the creator of the script disocciated with the script it is not much of use. I have also tried zelune, it is fast as claimed but does not work well with some sites. Glype is updated, has a community around it which means it is actively updated to weed out errors and problems. So my take is 9/10 to glype proxy script.
i use glype for my site.. i think it's very good.. here's a demo if you'd like: http://www.easybebo.info
i can't decide whether to carry on using glype or try something new... i am having a few problems with glype and SSL