Update status behind a proxy
One of our corporate installations had a forward proxy that prevented direct access to the internet, we ended up patching core with 'the proxy patch' (thus named this way because this issue has been open since 2004 - http://drupal.org/node/7881).

http://drupal.org/node/7881#comment-4134240 - has a patch for drupal 7
http://drupal.org/node/7881#comment-2446280 - has a patch for drupal 6

Once the patch is installed, then you will be able to alter drupal_http_request() to send all queries through the proxy.

This way all modules that require access to the internet will function as expected, e.g. update statue, aggregator, openID etc

UPDATE: The patch is already merged in Drupal 7 trunk ( https://drupal.org/comment/6425278#comment-6425278 ), and hopefully will be out with Drupal 7.16