How do I set the proxy to be used by the JVM

From the Java documentation (not the javadoc API):

http://download.oracle.com/javase/6/docs/technotes/guides/net/proxies.html

Set the JVM flags http.proxyHost and http.proxyPort when starting your JVM on the command line. This is usually done in a shell script (in Unix) or bat file (in Windows). Here's the example with the Unix shell script:

JAVA_FLAGS=-Dhttp.proxyHost=10.0.0.100 -Dhttp.proxyPort=8800
java ${JAVA_FLAGS} ...

When using containers such as JBoss or WebLogic, my solution is to edit the start-up scripts supplied by the vendor.

Many developers are familiar with the Java API (javadocs), but many times the rest of the documentation is overlooked. It contains a lot of interesting information: http://download.oracle.com/javase/6/docs/technotes/guides/

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Update : If you do not want to use proxy to resolve some local/intranet hosts, check out the comment from @Tomalak:

Also don't forget the http.nonProxyHosts property!

-Dhttp.nonProxyHosts="localhost|127.0.0.1|10.*.*.*|*.example.com|etc"

To use the system proxy setup:

java -Djava.net.useSystemProxies=true ...

Or programatically:

System.setProperty("java.net.useSystemProxies", "true");

Source: http://docs.oracle.com/javase/7/docs/api/java/net/doc-files/net-properties.html