Most Linux commands that access the Internet look in the HTTP_PROXY, FTP_PROXY, and SOCKS_SERVER environment variables for proxy information. So, to do something like your example, just run:
export SOCKS_SERVER=1.2.3.4:8000
wget http://superuser.com/q/262956/66003
The syntax for HTTP_PROXY and FTP_PROXY is slightly different:
export HTTP_PROXY=http://1.2.3.4:3128/
export FTP_PROXY=ftp://1.2.3.4:25/
The default GNOME desktop environment included with Ubuntu's proxy settings has an Apply System-Wide button, which will automatically set those environment variables for you. Otherwise, you can add the export lines to your ~/.bashrc file to make them take effect at every login.
Unfortunately, wget doesn't support SOCKS at all. You can use curl, which is included with Ubuntu, to achieve many things that wget does. Unfortunately, it doesn't check SOCKS_SERVER, while it does check HTTP_PROXY (as does wget). To use curl to download this page with a SOCKS5 server (performing DNS resolution with that server) and save it as superuser.html, run this:
curl --socks5-hostname 1.2.3.4:8000 http://superuser.com/q/262956/66003 > superuser.html
If you want to make curl always use that SOCKS proxy, you could create a shell alias. Just add the following line to your ~/.bashrc:
alias curl='curl --socks5-hostname 1.2.3.4:8000'
You will need to restart your terminal or run that line as if it were a command for the changes to take effect.
