Well, there is already an answer very similar to what I was going to post, but I will post mine too just to make it more clear.
From Ubuntu 11.04 onwards, it's known fact that there have been many changes to Network Settings in Ubuntu. Of course, many people who wanted proxy authentication (like me) had to work a little hard to get it. So, this new short guide is for those who need Proxy settings (with/ without authentication).
Note: In the Screenshots below my Ubuntu is a little bit customized, so the icons may look different in your system.
First of all, either click on the launcher icon (or press super) and it opens Unity panel. Now search for Network, and it will show you some results like this:
Select the first one that says Network.
It will open the Network settings window.
The same can also be opened by searching for System Settings in the Unity and clicking on Network in it like it's shown below:
After the Network Settings window pops up, click on Network Proxy on left like it's shown here:
Now, select Manual on the right and enter the proxy address for each type of server. Let's say that I have a Proxy server at address 172.27.1.1 at port number 5321. The proxy settings would look like this:
Now, if you need authentication to access the proxy, type your username and password as shown below:
Lastly, click on Apply System Wide to apply the settings system wide. This will pop up a one or two authentication windows like shown below.
Enter your password to set the settings and that's it... the System Proxy settings are all set and your Ubuntu is ready to use them!!