On windows I used Bitvise Tunnelier, which is a neat free app capable of setting up a secured tunnel through http/https proxy.
On linux the only thing I found was corkscrew+ssh, which in terms of functionality a bit behind of Bitvise tunnelier imho.
The main problem is connection speed and handling of disconnects - with corkscrew it takes around a minute to just connect to the host, while it is almost instant with Bitvise.
Also, I couldn't find how to set it up to reconnect automatically while Bitvise does that by default.
So I guess I am looking for something similar to Bitvise only for Linux.