oops. I made a mistake in my post. Yes, I was using stratum.btcguild.com:3333.

These are the commands that don't work.
bfgminer -o stratum.btcguild.com:3333 -x http://proxy.com:8080 -u xxx -p 111
bfgminer -o stratum+tcp://stratum.btcguild.com:3333 -x http://proxy.com:8080 -u xxx -p 111
bfgminer -o http://stratum.btcguild.com:3333 -x http://proxy.com:8080 -u xxx -p 111

These are the commands that work.
bfgminer -o http://api.bitcoin.cz:8332 -x http://proxy.com:8080 -u xxx -p 111
cgminer -o "http:proxy.com:8080|stratum.btcguild.com:3333" -u xxx -p 111

At least I know that I can do it behind my firewall, it's just that I don't now the correct command or bfgminer does not allow connection to stratum via proxy?