I recently looked into this after being in the USA for a couple of weeks and seeing how much better the Netflix is when you're down there. Most importantly they have the latest season of Top Gear!
Note that this is only one way of doing this, there are many more websites available, some may be cheaper/easier, this is just what I did and was very simple.
1. Go to http://www.unotelly.com/unodns/
2. Sign up for an account, they don't need anything more than an email and a password.....no stupid address and crap required.
3. Go through the setup instructions which are very easy and detailed.
4. Click the link to view their servers and get the IP of the one closest to you.
5. Edit the DNS Gateway setting on your device and change it to the IP you got in step 4.
That's it. There are even detailed instructions for every device you might have including each specific media player, Playstation 3, Android phone, Ubuntu computer, anything you have.
This will give you a free trial period, 1-2 weeks or something, I forget. Then it's $5 a month which is totally reasonable for what you get. I have this set up on my Boxee Box now, listening to Pandora as I type.
EDIT - I have since switched over to http://unblock-us.com/ for my proxy provider.