Other techniques include tunneling over DNS, tunneling over ICMP, finding flaws in the HTTP parser, scanning the default router for open ports, scanning intermediate proxies for open ports, exploiting bad proxy redirect rules, finding protocols and ports that the firewall doesn't block outbound, and finding holes in the paywall's web apps.
Once upon a time there was a pre-paid mobile internet provider that sold USB sticks. It turned out that once you had initially activated the stick, even without an account, it would always default to a paywall until you had an account paid up. The HTTP parser of the paywall proxy was so bad, it only filtered connections with CRLF as the line-terminator for HTTP requests... so a simple proxy that converted CRLF to LF bypassed the paywall.