According to the Swiss security researcher who runs Abuse.ch, the use of free proxy services like Glype, Tor, and others have an option which allows administrators to log the traffic flowing through their proxyserver on the Glype network.
In a patent app made public this month, RIM's lab geeks describe setting up a proxyserver right on the phone that would intercept the browser's web requests and bundle, compress, and send them to a gateway on the other end (BIS, we presume) that would know how to deal with the packet.