Many times, a Java app needs to connect to the Internet. The most common example happens when it is reading an XML file and needs to download its schema.
I am behind
As is pointed out in other answers, if you need to use Authenticated proxies, there's no reliable way to do this purely using command-line variables - which is annoying if you're using someone else's application and don't want to mess with the source code.
Will Iverson makes the helpful suggestion over at Using HttpProxy to connect to a host with preemtive authentication to use a Proxy-management tool such as Proxifier ( http://www.proxifier.com/ for Mac OS X and Windows) to handle this.
For example with Proxifier you can set it up to only intercept java commands to be managed and redirected through its (authenticated) proxy. You're going to want to set the proxyHost and proxyPort values to blank in this case though, e.g. pass in -Dhttp.proxyHost= -Dhttp.proxyPort=
to your java commands.