The SOCKS support was added to Wget at a very early date and was unmaintained for a long time, up to the point where it wouldn't build at all. Since I didn't have the SOCKS library installed and noone even reported the failures, I decided to remove the `--with-socks' option from configure until someone stepped up to add back the support.
In the meantime, the SOCKS library itself changed and porting new applications to use it became much simpler than it used to be. If you have the time, visit http://www.socks.permeo.com/TechnicalResources/SOCKSFAQ/SOCKSGeneralFAQ/HowtoSocksifyClients.asp and see if the listed steps work with Wget. As far as I can tell, Wget is SOCKS-friendly, according to guidelines at http://www.socks.permeo.com/TechnicalResources/DevelopDocuments/SOCKSFReferenceImpl120C.asp
