I have a particular user who is using the HideMyAss.com proxy service to harass and scam users on one of my sites.
Does anyone know how I can block all traffic from this service?
the easiest way would be to email hidemyass and ask them to block access to your site. If it's a small / unpopular site, then they would probably be happy to do so. Running my own web based proxies, I find the easiest way to deal with abuse complaints of the nature you're describing is simply to not allow my users to visit the web site that is being abused. I can't speak for hidemyass, but they might be willing to do the same.
The problem is that there are tens of thousands of proxies and several types of them. New ones are created everyday and it is difficult to stay on top of them all. If they do block your site from their proxy, the culprits would likely use another proxy.