DNS cache is great, especially when you're maxxing out your bandwidth - I was surprised by how much perceived improvement I got for such a simple thing.
Caching proxy, I don't really know. A lot of things are dynamic these days (forums, etc. yadda yadda), and thus pretty hard to cache. I used to run a squid caching proxy when I still lived with my mum, and I dunno how much effect it had. When on even a moderately slow ADSL line, the biggest bottleneck I feel is when a browser/whatever needs to make a new connection to a server, rather than re-using a persistant connection.