A proxy is a production building built outside a player's base, as close to the opponent as possible. This improves the sustainability and pressure of an attack by allowing reinforcements to arrive faster. Proxies are typically used in the early game as part of a rush.
Terrans and protoss, in particular, are known for their proxy rushes. Terrans will frequently double barracks or factory proxy against other terrans. Protoss will single or double gateway, depending on their level of seriousness. A proxy robotics facility and robotics support bay is also popular.
A proxy is different from a hidden building.