There are some sites that have some sort of deep packet scanning (or something like that. BF was explaining it a while ago, and I'm fuzzy on the details). Basically, they can tell you're using a proxy. For example, Channel 4 On Demand won't work with a simple proxy server because it knows you're not really in the UK. I'm pretty certain Hulu works in the same way.
From what I've read, the only way to get around this is to use a vpn, rather than just a proxy server. There are companies that do provide vpn access for a fee. If you're already paying for a proxy server, the service you're using might offer an upgrade to a vpn. I have seen this with at least one company.
