How to setup a gameserver proxy?

The problem is that a lot of US users have high pings to Europe due to bad routing, so I had the idea to rent a simple VPS on the eastcost of the US so players can connect to the proxy instead which would re-route the traffic.

e.g proxy.test.com instead of login.test.com

Now the question is which application is the best choice for this purpose on Debian/Ubuntu? Its important that the client doesn't needs any extra applications, only the address change should be required.

I have personally experience with Squid as Webproxy but I never setup a proxy for games with the purpose to lower the ping so much as possible.

How are providers like "Lowerping" doing it by the way?

Nobody has an idea?