I replied to a similar problem on another forum some time ago. Maybe it would apply to other people having similar issues.
I was having a similar problem yesterday after I upgraded the OS on my phone.
Let me describe what I am using:
HTC Glacier with Cyanogen 7 ROM including Google Apps.
I installed TransProxy 3.08beta and a few other applications, made some config changes, enabled / disabled proxy a few times and later on the browser application that was included with the ROM would not connect to 3G data. It was working fine on WiFi. However Opera worked fine on either. Also other apps like market worked fine.
This is what fixed it for me:
1. Disable proxy in TransProxy
2. Create a shortcut for system proxy settings on home screen:
long press on home screen > custom shortcut > pick your activity > activities > settings > Proxy Settings(.ProxySelector)
3. Open proxy settings using the shortcut
4. Clear settings using 'Clear' button
After this the browser started connecting to 3G data.
Hope this helps.