Linux has tsocks and proxychains which override the connect() method with a LD_PRELOAD library and force traffic to go through a socks proxy. Easier than iptables since at least proxychains can be installed with apt-get on Ubuntu(don't know about other OSes).
Only problem with the LD_PRELOAD method is that it doesn't work for all (many) apps. I believe one case it breaks for is non blocking connect()s, not sure if there are others. Although the iptables setup is a lot more complicated it pretty much works for everything.
An example I have found is rtorrent. There is also https://github.com/apenwarr/sshuttle, which looks promising, but I haven't used it. My vps provider doesn't provide tap for openvpn to work.
