The site http://www.all-nettools.com/ also performs proxy checking.
I have not seen it posted before often here at AO but it is quit a nice site with networktools like smartwhois, traceroute and the mentioned proxy testing.
They also have a service similar to anonymizer.com allowing you to surf to sites anonymous from there and they have a tool to send anonymous emails.
Futhermore they have some guides about anonimity on the web.