Even with the Honeycomb support for WiFi Proxy, apps or may not be able to take advantage of the new proxy support, and might have to be updated (at least at that time, that was case). Common example: set a proxy on your XOOM and your could browse the internet, but the mail app, and other apps that relied on http connectivity, would not necessarily work without modification by the developer).
Motorola (and perhaps other manufacturers) have included proxy support in their phones. My Bionic has it, but I no longer need it, and haven't tested it. I'm not sure who else provides it. I think some of the other tablets, may be the Galaxy Tab include a way to set the proxy, but again, if the app doesn't know how to take advantage of it, it's gains you nothing, beyond web browsing.
Even the oldest of Blackberries I used supported proxy settings on WiFi. It boggles my mind that Google would allow such a glaring omission to last for such a long time, especially when it has a huge effect on Android's adoption in the enterprise.
These are things that have always set Blackberry devices apart, and both iOS and Android are still playing catch-up. What would be nice is if RIM could make Blackberry Enterprise Server (BES) deliver all the benefits to iOS and Android devices also. But even here, Good Mobile Messaging (GMM) has already become well-known for providing enterprise features across a wide-array of mobile devices.
Thus spake the master programmer: "Time for you to leave." -- Geoffrey James, "The Tao of Programming"