In a new blog post Matthew Weier O'Phinney has taken a look at proxy objects (the Proxy design pattern) and how it differs from some of the other popular patterns.
Of the other patterns mentioned, the one closest to the Proxy is the Decorator. In the case of a Decorator, the focus is on adding functionality to an existing object -- for instance, adding methods, processing input before delegating to the target object, or filtering the return of a method from a target object.
Proxies stand in for objects and have several benefits for your application that may or may not need all of the overhead a full object could cause. Matthew focuses on one benefit in particular - consuming and controlling access to another object. He sets up a problem of wanting to use properties/methods on objects that aren't exposed directly (like a protected method). His solution is a proxy layer class on top of the original object. He includes a few "gotchas" to look out for when using this technique including overwriting all necessary methods and copying over all of the needed properties.