circa centos 4.(2|3?) I ran into issues with yum. I pushed a script to export the HTTP_PROXY variable at boot up as I couldn't get the boxes to honor WPAD, mind you that was the gotohell plan as I had a two hour maintenance window. Could have been me.
Further down the road I ran into a host of issues with some other "corner" applications and platforms as well [Looked good in lab, meh]. In order to mitigate the pain, I put transparent proxies in place and have never looked back.