If somebody needs to switch it's proxy settings quite often, and gets bored of doing it via system preferences or locations, feel free to use my FastProxySwitcher widget.
Since version 2.0, the widget is made only for MacOS X 10.6.X, where Apple has finally fixed the tool networksetup.
It helps you to do following stuff:
Installation steps for Version 1.2, 1.3 or 2.0:
Installation steps for Version 1.1:
Requests, questions and recommendations are welcomed in my mailbox (richard dot malina at gmail dot com).
Current version: 2.0