The proxy could display an icon in the user's postbit/profile/membercard that shows that the user is browsing via a proxy.
It becomes difficult and tiresome when you have to ban users who create new accounts on your forum to evade a ban and I feel detecting proxies would help prevent this. Forums that do not allow proxies can ban these users whereas forums who do allow them can just leave them be.
Most people will probably sit here thinking "how can we detect proxies?" - Well you can use HTTP_X_FORWARDED_FOR and check if the referring URL contains "proxy" (or specify a list of proxies from a collaborative list - similar to IPB's spam DB)
*Like this if you agree - new prioritising method*