A question from somebody who is not so knowledgeable in this area. If your ISP uses a transparent proxy, does it really matter then what DNS you put in your router since they will ignore it and use their own DNS resolution?
This breaks proxy services like unblock-us usually. But even with their transparent proxy I have noticed that on TCL at least, when a different proxy address is specified, some of the CDN's are really slow. The Herald is one such example which performs really slow when the proxy server in my router is not set to the TCL ones.
System One: Popcorn Hour A200, PS3 (US 60G) dead and now replaced with a PS3 SuperSlim, NPVR running on Sempron 3000 (XP), Sony BDP-S390 BD player, Logitech Revue, Pioneer AVR, JVC 56" D-ILA 720P RP TV
System Two: Popcorn Hour A110 , Oppo BDP-80 BluRay Player with hardware mode to be region free, Vivitek HD1080P 1080P DLP projector with 100" screen. Harman Kardon HK AVR 254 7.1 receiver, Toshiba HD-A2 HD-DVD player, Roku XS media player
FYI, you can also hit CDN problems if you use a VPN. eg if DNS resolution takes place at the far end of the tunnel, but the web traffic isn't routed that way too. One way to avoid that is to use search domains to limit DNS resolution to just the subset that are on the VPN. The VPN server should be configured to do this but if it's not you can work around it on your own machine.