Why are proxy sites so bandwidth intensive? IS it cuz you surf all the other sites through your domain? also if you get a proxy site coded how could you test it as I have no surfing restrictions..
Proxy sites are heavy on bandwidth because the sites get displayed through your server (images use up a lot of bandwidth). Rather than coding a new proxy you should check out PHP proxy and CGI proxy and modify them according to your needs. To test your proxy page upload it to your server and then visit WhatIsMyIp? with and without the proxy, if you get different addresses then the proxy is working.
I forgot to mention, php proxy will be lighter on your server but it will not work with a lot of sites. CGI proxy will work with any site, allows SSL, disables image hotlinking through your server but is slower than php proxy and consumes more processor power.
It's also very CPU intensive, as daniel said. Therefore, many shared hosts don't allow Proxies on their server. Mong says that Netfirms allows proxies, but I would always be prepared to be kicked out of a shared host, as I read something in the TOS that could allow them to kick out a proxy. Another option is to get a VPS or Dedicated server. You could get that after being kicked off of a shared webhost. Another option (self-promotion) is that you could use ProxyWebHost, a shared proxy web host I am starting. I charge premiums for the added bandwidth/cpu usage of Proxies.
I have my own server so thats not a problem. I did get phpproxy customized with a template i designed.. its prety fit (= Thanx for the anwsers guys. Exackly what I needed