Since the iTerm2 plugin supports passing over additional options to the ssh command it's quite easy to set up connections that will be tunneled through a proxy or jump host.
For more information on the topic please visit the following page: http://en.wikibooks.org/wiki/OpenSSH/Cookbook/Proxies_and_Jump_Hosts

To set up additional SSH options, open the properties of your SSH connection and go to Advanced - SSH.

Please also have a look at our Secure Gateway feature for a tightly integrated way of creating connections through SSH tunnels.