if you will setup in dubai, chances are the best is to do so at the freezone such as DIC or DMC. For now and untill Du becomes active as a second provider, there are no proxies. However, there are port restrictions. I know several VPNs are unaccessible due to ports being closed.
If your concern is the proxy only and assuming you dont have any funky soft you need to run that requires a special port, this would be your best bet.
HOWEVER: DIC internet is know to be slow and have limited capacity of bandwidth. This was the case up untill 2 months ago where internet was at a crawl unless you were on from 3AM to 6AM. This now seems to be solved but could surface as more people reside in the homes built by Emaar (DIC provides Emaar with both web and broadband TV access)
The only advantages to Etisalat is the speed. When they say 2MB, its 2MB. I had no problems. 2, their port range seems to be clear for most TCP and UDP protocols.