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My favorite way to do this is to use ssh/SOCKS and SOCKS tunneling.
If you have sshd running on your colo'd server, that's all you need.
Use
ssh -D 9000 yourhost.foo.com
And then tweak your browser to use a SOCKS proxy on 127.0.0.1 port 9000.
With Firefox, I like to use Foxyproxy to quickly change the proxy config.
Here's an OK page with more details. SSH Proxy Details
chrome --proxy-server="socks5://myproxy:9000" --host-resolver-rules=AP * 0.0.0.0 , EXCLUDE localhost"