In Panther, OS X has brought proxy server configuration to the Network Preferences pane (Proxies tab), and allows you to enter your password details. Despite entering my correct username and password, I was not getting anywhere. I tried the solution of entering my username and domain as domain/username, but this was not working (note a forward slash, not back slash). This may work for some, but it did not for me.
The solution? Enter your username as username@domain.com (or .net or whatever) and BINGO! It worked for me and I am now back to evangelising about Macs and showing my colleagues how much better they are than PCs. :)
I can't stress how simple this solution is, but how happy it has made me and other mac users at work.

