Some browsers for instance Netscape offer a 'automatic proxy' feature. If possible try to use it. You'll get the following advantages
Select Network Preferences from the Options menu. On the Proxies page, click the radio button next to Manual Proxy Configuration and then click on the View button. For each protocol that your proxy server supports (by default HTTP, FTP, and gopher) enter the proxy server's hostname and put the HTTP port number for the proxy server in the Port column. For any protocols that your proxy does not support, leave the fields blank.
Netscape automatic configuration
% export http_proxy=http://www-cache.desy.de:3128/
% export gopher_proxy=http://www-cache.desy.de:3128/
% export ftp_proxy=http://www-cache.desy.de:3128/
For Lynx you can also edit the lynx.cfg file to configure proxy usage. This has the additional benefit of causing all Lynx users on a system to access the proxy without making environment variable changes for each user. For example:
http_proxy:http://www-cache.desy.de:3128/ ftp_proxy:http://www-cache.desy.de:3128/ gopher_proxy:http://www-cache.desy.de:3128/