Using a proxy with yum in Centos 6

Could not retrieve mirrorlist http://mirrorlist.centos.org/?release=6&arch=x86_64&repo=os error was 12: Timeout on http://mirrorlist.centos.org/?release=6&arch=x86_64&repo=os: (28, 'Operation too slow. Less than 1 bytes/sec transfered the last 30 seconds') Error: Cannot find a valid baseurl for repo: base

You would think this should be fine and simple like using a proxy with most other software?
However you would be severely mistaken to think like I did!

First of all yum CANNOT even use a SOCKS server, it only supports http://!
Fine, so we will set one in yum.conf like so: proxy=http://somehost:8080

Another way is to set an all_proxy or http_proxy environment variable (this saves you from adding the proxy to yum itself but beware it means all operations are proxied):
export all_proxy="http://someurl:8080" #or export http_proxy="http://someurl:8080"

Let's do a yum update:

Loaded plugins: fastestmirror Loading mirror speeds from cached hostfile Could not retrieve mirrorlist http://mirrorlist.centos.org/?release=6&arch=x86_64&repo=os error was 12: Timeout on http://mirrorlist.centos.org/?release=6&arch=x86_64&repo=os: (28, 'Operation too slow. Less than 1 bytes/sec transfered the last 30 seconds') Error: Cannot find a valid baseurl for repo: base

The problem is that due to Squid's caching nature you will never get a proper result so the mirror list operation will always fail.

How can you fix it?
It's a pain, you have to go to your repos and comment out all the "mirrorlist" lines and uncomment "baseurl" lines (be sure to backup the .conf/repo before you do this).