It appears that not everything looks at the environment setting http_proxy/all_proxy/no_proxy (I had set in my /etc/environment).
For my Java->JBoss application to use the proxy, I had to setup a specific proxy for my JVM.
I was pointed to /etc/java-6-sun/net.properties. I made my changes there, and everything works as expected.
What about DNS lookups? Is there any way to force Java to feed those through your SOCKS proxy?
Yes, same place, there is a socksProxy value.