TCP based protocols that are optimized, controllable with policy, and/or logged:

HTTP
FTP
HTTPS
CIFS
Endpoint Mapper
*MSN IM
*AOL IM
*Yahoo IM
*MMS
*RTSP
*RTMP
Telnet 
Peer-to-Peer (protocols: bittorrent, edonkey, fasttrack, gnutella) 

All other TCP based protocols can be sent through the proxy explicitly using SOCKS or transparently using the TCP-Tunnel service.

UDP based protocols that are optimized, controllable with policy, and/or logged:

DNS
MMS
RTSP 

All other UDP based protocols can be sent through the proxy explicitly using SOCKs.  For transparent environments UDP traffic is bypassed and cannot be intercepted.

(* Note: See releases notes for specific client versions supported)