No, there's not. The proxy settings in System Preferences > Network apply to all Mac OS apps that use the relevant port (e.g., for HTTP that's Safari, Software Update, iTunes, etc.).
However, Firefox uses it's own proxy settings, not the OS proxy settings. So, to leave the OS settings alone and just use a proxy server with your web browser, use Firefox instead of Safari.
http://www.mozilla.com/en-US/firefox/
Hope this helps...