If you are an Azureus user, Azureus' proxy support is a bit buggy.
http://www.azureuswiki.com/index.php/ProxySupport Azureus 2105 (and newer) contains proxy support for both tracker and peer communications.
Tracker communications can be proxied through http or SOCKS proxies, with or without username and password authentication.
Peer communication can only be proxied through a SOCKS proxy. Versions 4, 4a and 5 are supported, although authentication methods for V5 are limited to "no authentication" and "username/password".
Also, peer communication proxying only supports outgoing connections - it is not possible for other peers to connect to you to transfer data, and thus there are speed limitations beyond that of using a proxy intermediary. By default Azureus will inform the tracker that incoming connections are not supported, using a port number of 0. Some trackers reject this with an error message of the form "Error (invalid port)". If this happens then deselect the option to "inform tracker of limitations" (you have to restart Azureus for this to work, even though Azureus currently doesn't say so
You also might want to use a different client like uTorrent which is our recommended torrent client.