It seems that FF has a problem with 403 Access Denied responses from proxies, at least for ssl.google-analytics.com. I've found this post which describes my problem. I'm posting my workaround as an answer, but would also welcome any more information if anyone has it as I can't find anything!
EDIT: Note that the current version of Firefox which is experiencing this issue is 3.0.10
EDIT: Still there for FF 3.5...