There are two Firefox extensions depending on your need.

If you need to switch between different proxies quickly then you can use the SwitchProxy extension for Firefox. SwitchProxy lets you manage and switch between multiple proxy configurations quickly and easily. You can also use it as an anonymizer to protect your computer from prying eyes.
It supports Firefox (version 0.8-1.5.0.*), Mozilla (version 1.6-1.8) and Thunderbird (version 0.5-1.5.0).

If you need to quickly turn the proxy on or off then you can use the QuickProxy extension for Firefox. Quickproxy creates a statusbar button to quickly turn the proxy on and off.
It supports Firefox version 1.0 - 1.6.