iTunes 4.0.1 now has proxy support. Without this upgarde, we had so many issues. I work for GE. Their firewall only allows communication through certain ports, in this case 80. We had all our proxy settings set in the Network area of OS X's System Prefs. but Apple apps like iTunes didn't use these settings for some reason. With iTunes 4.0.0 we could still browse the iTunes Music Store through the proxy, we just couldn't buy anything, sign in, or play purchased music that needed to authorize. We also couldn't share playlists. We could see each other's playlists, but when we tried to access them, iTunes times out.

iTunes 4.0.1 fixed all thses issues. It's a great upgrade for people behind big firewalls at work.