Comment 6 for bug 554068

humble_coffee, have you tried to use wget as normal user?

I think the problem is related to sudo. To check it, do the following:

1) Remove, or comment out, your settings of the proxy in wgetrc (either in /etc/wgetrc as in ~/.wgetrc)

2) Set proxy in System->Preferences->Network Proxy and set it to be system-wide

3) sudo su
This will make you enter a root. All the commands after this will run as root, so you don't to start them with SUDO

2) echo $http_proxy

If your proxy is correctly shown then you should be able to execute 3), 4) or 5)

If not, before going to 3) do:
export http_proxy="http://your.proxy.address:port/"

3) wget <URL of the file to download>

or
4) apt-get update

or
5) apt-get install <some package>

If you can run 3) to 5) as described, but cannot run as:
sudo wget <URL of the file to download>
sudo apt-get update
sudo apt-get install <some package>

then the problem is with SUDO that is not reading $http_proxy from environment. That bug is already reported in
https://bugs.launchpad.net/ubuntu/+source/sudo/+bug/556293

but it is with very low activity :-(