One of our corporate clients has an authenticating web proxy and no other external links through the firewall (that I can find). It turns out that OpenVPN can work completely through SSL - i.e. if you tell OpenVPN about the proxy/authentication it will connect through the SSL proxy to the vpn server and setup a tunnel. This is sensational for us as it now means I can show demonstrations of our work running against our own test databases to the business users.
If you need to setup a VPN you really should take a look at OpenVPN.