lol ok ok.. first of all.. a proxy server is basically almost like any server.. it is a computer..
and as we all know a computer can be compromised.. so that means we are back to square one.. "how do i hack a proxy server?" which is basically same as "how do i hack a computer?"

NOTE: just like what Unleashed said.. if the person is using multiple proxies then 4get about it.. hahaha

coz compromising one proxy server is already a hand full..

and believe it or not.. these proxy servers are well secured.. coz thats what they stand for.. SECURITY.. and i should know coz i use one and i administered one..