RSnake's blog just turned me on to the release of XSSTunnel, a very slick project by Ferruh Mavituna. This .NET-based tool lets you leverage a cross-site scripting vulnerability into a full HTTP proxy. By using XSSTunnel in concert with Ferruh's XSS Shell, you can pipe any scanning tool that supports HTTP proxies to run through a victim's "infected" browser. The possibilities are endless: you could run your own web browser, SQL injection tools, Nikto, etc. through the tunnel.
The logistics of the attack are fairly simple. You need to host the XSS Shell components on an IIS server under your control, and configure XSSTunnel (which runs locally on your machine) with its location. Your cross-site scripting attack will load the code from the XSS Shell server into the victim's browser, either through a reflected or persistent vector. (It's worth noting that XSS Shell has some nasty attacks on its own, including key-logging, stealing cookies and clipboard contents, etc). Once everything is set up you can launch the tunnel, wait for your XSS attack to reach a victim, and then proxy to your heart's content.
Ferruh's Bugtraq post includes links to a video and whitepaper; the tool is also available at Portcullis-Security.