KyroMaster,
I have experienced the same, some (most?) proxys do not respond when asked for CONNECT, maybe it is some kind of bandwidth protection.
Notice that the debug options I am refering to are not compile options, I mean preference options. If you are seeing these "Http-CONNECT(0002): 0 -> 2" messages, you probably have "debug proxy" enabled in preferences. Or else, I made some mistake in the code

There are some docs here:
http://www.amule.org/wiki/index.php/Using_gdb_and_valgrindhttp://www.amule.org/wiki/index.php/BacktracesAnd, of course, you are welcome to ask anything here

I also recommend that you compile a debug version of wxWidgets. I usually do it like this:
cvs up && ./configure --enable-debug --disable-optimise --enable-debug_flag --enable-debug_info --enable-debug_gdb --with-opengl --enable-gtk2 --enable-unicode --enable-largefile --prefix=/home/user/wxWidgets-cvsu && make && make install
Notice that if you do exactly as I said, you will have to run aMule like this:
LD_LIBRARY_PATH=/home/user/wxWidgets-cvsu/lib /path/to/amule &
kdbg is a good front end for gdb, maybe the most friendly, but it crashes for me from time to time, mainly when you need to restart the program and that makes me angry. There is also ddd, which is very stable. But most of the time, I use gdb directly, no intermediaries

Cheers!