How can I use Squid and/or Mod Proxy to reliably and securely proxy
regular services such as P2P, Instant Messaging, FTP, etc.

Is this ideal or should I stick to firewall rules (PF on FreeBSD)?

I see how people will use mod_proxy (Apache) for some things, and
firewall filters for others.  It doesn't make sense to me.

The firewall I'll be using is PF on OpenBSD.  I like the idea of
running Squid, as it has so many capabilities - yet I also realize
that a misconfigured squid proxy can wreak havoc (or any other proxy).

An example configuration would be very useful!

I have written detailed article about how to pass through a proxy,
however this may not give you the exact solution but it will open your
blocked ways to think beyond this and get the solution.

http://www.codeproject.com/internet/akashhttpproxy.asp

I have explained how can you go through proxy using secure http and
connect to various other services.