What is a Proxy Server?
A Proxy Server is a computer (or piece of software on a computer) dedicated to working as a channel to communicate between multiple computers or servers when a service request has been made.
With email, this usually relates specifically to Image Proxy Servers and how they impact tracking in Analytics. Some services (such as Gmail), utilize an Image Proxy Server to protect the security of their users from any possible security issues with an image in an email they receive. This will allow the email to download images once via the Proxy Server, and then caches all the image information (and any pixel tracking information) in the secured Proxy Server for subsequent image requests.