Firewall Traversal for Macs?

TexTex asks: "I find myself lacking in many of the joys of the internet while at work, largely because of a particularly effective firewall. While it works great at keeping stuff out, it also keeps me in. FTP and HTTP proxies are the only available exit (no SOCKS). Also, I'm using a Mac so firewall support on many of the apps are not as flexible as I'd like. Napster, Gntuella, and Quicktime streams are unavailable (not to mention all those swell Yahoo internet games). Any ideas how a lone Mac user can escape from the inside?"