In Firefox is add-on FoxyProxy, which makes possible use many proxy with filtering URLs. I need it for any browser, but in many of them it is only possible to set one proxy server. I need a transparent local proxy, which may filters URLs and forwards traffic to other proxies. I've heard about Squid, but I haven't found information about it. It is possible to set it in Linux (and how)?
Squid is one possibility, it's a caching proxy designed for high loads and with many features. See Squid selects parent depending on requested URL? for examples of how to set up per-URL parent proxies.
Wwwoffle is another possibility. This proxy is strongly oriented towards having an offline cache, and caches more aggressively than is allowed by the HTTP standards, which is a problem with some sites. Parent proxies can be specified per-URL with wildcard patterns (the default configuration files contains commented-out examples).
The answer here is going to be to set your single value to a proxy server of your own so that all traffic hits it. This can be a system wide setting.
As for setting up your own proxy server, yes