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answers:

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I have a subscription to a paid HTTP proxy service, which requires login and password to be used. I want to use this service with my iPhone, but unfortunately the device cannot pass the authentication stage. However, both my Mac OS X powered laptop and Debian box have the ability to successfully connect trough the paid proxy. Is it possible to set up VPN server or, perhaps, another proxy server on either my Mac OS X machine or a Debian box to tunnel all the incoming connections from my iPhone through the paid proxy service? Would be grateful for any advices on how to do that.

A: 

Squid should be helpful here. http://www.squid-cache.org/ One end of squid to your paid proxy and other end to iPhone.

You might need two network interface (depends on your configuration)

Jack
I do have two network interfaces - Ethernet to the paid proxy service and Wi-Fi to my iPhone. Do I understand it correctly that I need cache_peer to tunnel squid through the paid proxy?
arentweallhorses
Two interfaces are great. If you can make both IP addresses static, it will be better. Configure your squid proxy (squid.conf) to point to your paid proxy. Add user-name and password there. On other end, listen for any request on port 80 (or other if you want to). One example is here: http://www.faqs.org/docs/securing/chap28sec232.html
Jack