Using a WCF proxy through an ISA proxy server
When I tried I received the following very helpful System.ServiceModel.ProtocolException with Message="The remote server returned an unexpected response: (407) Proxy Authentication Required ( The ISA Server requires authorization to fulfill the request. Access to the Web Proxy filter is denied. )."
And this in turn contained an inner exception of type System.Net.WebException and Message="The remote server returned an error: (407) Proxy Authentication Required.".
Now I cannot find any way to add the required authentication but it turns out that setting the wsHttpBinding useDefaultWebProxy to false works just fine 
Enjoy!