Microsoft ISA server
Links in with Active Directory, alots multiple rules depending on the user ect. Works really really well imho.
If you wanted to pay for something then Bluecoat Proxy would get my vote. In my opinion better than messagelabs as it's simply a device that doesn't fall over where as on a server if you have to restart it (and you will sooner or later) then all users have no net access. If the server dies again no net access until its fixed.
M.