Assuming proxy server is 192.168.1.100, port 3128…

Most user-land applications, such as Curl

These use the http_proxy and https_proxy environment variables.  To set these on BASH:

export http_proxy=http://192.168.1.100:3128
export https_proxy=http://192.168.1.100:3128

For wget:

edit /etc/wgetrc and uncomment out the these lines:

https_proxy = http://192.168.1.100:3128/
http_proxy = http://192.168.1.100:3128/

Package installations/updates in Debian & Ubuntu:

Create the file /etc/apt/apt.conf.d/99http-proxy with this line:

Acquire::http::Proxy "http://192.168.1.100:3128";

Package installations/updates in RHEL & CentOS

Add this line to /etc/yum.conf under the [main] section:

proxy=http://192.168.1.100:3128

To install a squid proxy server:

Debian & Ubuntu

sudo apt-get install squid
/etc/init.d/squid stop
/etc/init.d/squid start

RHEL & CentOS

sudo yum install squid
systemctl stop squid.service
systemctl start squid.service

In both cases the configuration file is /etc/squid/squid.conf