Setup the SSH/SOCKS tunnelI'm on Linux, so this is pretty darn easy.
ssh email@example.com -D 1080
If the SSH daemon runs on a different port, you'd do something like this:
ssh -oPort=1234 firstname.lastname@example.org -D 1080
Remember ports below 1024 are reserved, and you would need root access. Now it is time to configure the different programs to use the newly created tunnel.
Setting up Gnome (optional)
Note: I'm going to list two examples, one is with FoxyProxy and the other is with the ordinary proxy settings.
So, there you have it. There are quite a few unix shell providers out there, I'm sure it wouldn't be too hard to spot a link for one. I've seen QuadSpeedInternet having SSH access for $3/month, and JVDS or Lonestar offering possible free shells. Alternatively, you could just get a really inexpensive VPS at VPSLink ($6-$8/month, but they often have 25% off discounts).