Wait... what? Why would..?
As discussed on the about the managed proxy service page, this kind of proxy is a rewriting proxy and whilst the reverse proxy and rewriting parts have to sit with us, the forward proxy part that is the last step between the user and the content doesn't have to and this opens up some possibilities:
In a sense you are bringing your own IP address to the managed proxy service whilst OpenAthens still does the complicated parts (selecting the relevant configurations, permissions, redirector support and re-writing).
There are three options documented.
For the large organisation or consortia with a need for different IP addresses for different organisational units:
For the smaller organisations who just want to use their own IP address:
Squid is a widely used proxy available on most platforms under the GNU GPL (i.e. it's popular and free). Link: http://www.squid-cache.org/