I'm looking for a way to set-up a web proxy at home. Hopefully there's a solution I can use to do this.

Alternatively, do you have any ideas for setting up one at home using a proxy with an auto updating list?

UPDATE - AutoUpdating list so the new sites are categorized and downloaded and the filtering is done by category instead of per site e.g. peerblock works this way

Appliance as in a small dedicated hardware or device to perform this task, like WD TV live or Acer Aspire Revo with the media center edition

I'd be ok with setting up Squid / Linux / SquidGuard even if i'm not familiar with *nix but ideally a small form factor pc with dual nic's would be ideal so it can be out of sight for the most part !