My work blocks proxy servers too and if you find one that they didn't filter out, and you are caught using it to bypass Websense, you can be fired. Happened to a really nice guy in our department who was using it to get to MySpace.
I'm lucky - we have no firewalls blocking sites where I work. Part of my job actually includes perusing other Web sites (I'm the News Editor for a national organization).
During the day, I open three Internet windows: my work's home page, Google and Yahoo. In the Google window, I open two tabs: Greekchat and eBay.