Allows say I've got a PHP application using inexpensive hosting that is shared. What's the easiest method to stream audio/video (mp3/mpeg) that's hundreds of mb to 100s of mb in dimensions. I'm considering a PHP based mix-domain proxy that utilizes caching. Can there be a problem with this particular approach? Has someone already carried this out?

Take a look at Amazon Cloudfront - it is a CDN that provides streaming using Expensive Media Server. I lately setup a task utilizing it also it was pretty simple to get ready to go (I'd no prior CDN or streaming experience). Obviously, you will need to find out if the price even compares to your overall setup. I believe using a CDN you completely sidestep the problem of requiring a mix-domain proxy.