The last time I had to use an external proxy program was when I tried to get into the Korean open beta of Lineage II... wow, that was a long time ago. Amazingly laggy, as well.
I have zero lag with this one, you can choose any country to proxy from, as well as individual states and towns and whatnot. No lag at all, I end up spending most of the day proxied and not even know because it's so smooth.