If you are consuming a remote web service from BizTalk (or ASP.NET) and you are behind a proxy server, you may receive an exception when BizTalk tries to call that web service:
System.Net.WebException - The underlying connection was closed: Unable to connect to the remote server
at System.Net.HttpWebRequest.CheckFinalStatus()
at System.Net.HttpWebRequest.EndGetRequestStream(IAsyncResult asyncResult)
at System.Net.HttpWebRequest.GetRequestStream()
at System.Web.Services.Protocols.SoapHttpClientProtocol.Invoke(String methodName, Object[] parameters)
You can fix this by altering your machine.config file to explicitly hold the proxy details, as described in KB 307220.
The problem occurs because by default machine.config instructs .NET to use the Internet Exporer proxy settings. The account under which BizTalk (and ASP.NET) is running will not have a loaded user profile, hence there are no Internet Explorer settings available to it.
Hopefully this fix, plus Jan Tielen's blog (repeated at the bottom of KB 819450), will solve most of your web service consuming problems.