Connecting through a proxy

Hi,
Just a quick question about proxy support.

I know how to request a HTTP page through a proxy server, you simply connect to the proxy server and give a full GET request, rather that just the path to the file.

GET www.mysite.com/files/mypage.htm

rather than the usual:
GET /files/mypage.htm

But what about non-HTTP requests?
How can I connect to a port of my choice on a remote server, using a protocol of my choice?

thanks

Surely someone knows!

HTTPS requires some encryption or something, and proxies that have support for it.
Some other ports require Socks proxies.

I'm clueless.