dude@ubuntu:~$ export http_proxy=http://192.168.11.22:8002

You used to be able to edit /etc/apt/apt.conf in Ubuntu and make an ACQUIRE clause with a funky http::proxy setting, but not anymore. The http_proxy environment variable works well. It’s also used for other applications such as wget.
I’ve tested this in the 64-bit version of Ubuntu 10.04 Lucid Lynx. To make the setting persistent, put it in your .bashrc.
dude@ubuntu:~$ echo “export http_proxy=http://1.2.3.4″ >> ~/.bashrc
dude@ubuntu:~$ source ~/.bashrc
dude@ubuntu:~$ echo $http_proxy
http://1.2.3.4