On of the banes of my recent life has been a bug in the JDK that means http requests to localhost are never proxied no matter how you configure your environment. This is a pain when running against a server local to your machine and you want to capture traffic in say the HTTP Analyzer in JDeveloper
There is a workaround in JDK6u14 where you can use a special "-Dhttp.nonProxyHosts=~localhost" value to ensure request to localhost are proxied. In JDK 7 making the nonProxyHosts value blank will have the same effect but they didn't want to risk the change in 6.
(Note of course u14 might not be support for a given production environment, it does give a nice debugging tool though.