Most hosts should allow proxy sites as long as it's for private use, such as phproxy hosting. But if you need to host public proxies that are web based, I'd recommend going with a DEDICATED Server or Virtual Dedicated Server.
Good luck and be sure to research thoroughly!
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@Citrex for users just fresh into proxy hosting, a host actually dedicating server only for proxy sites, shall be able to handle the users account, personally for my own proxy sites i got server for it, but since i did not have enough proxies, or rather did not have time to develop more just provided it for hosting other proxy sites. So if the op wants to get his own Dedicated , only get it if you have over 15 proxy sites of your own and does not want to become proxy host. Otherwise running a dedicated alone for proxies becomes non-profitable as proxies can loose traffic so quick and hence revenue drops !!