So just to make sure I wasn't crazy, I tried doing it on a different set of servers to see if it would work there. Turns out I was doing it right, but there's something else that's preventing me from connecting.
I run the following on S1: ssh -D *:<port> localhost
...and then configure that hostort as my SOCKS proxy in various applications on the Windows box.
However, this does not work in the servers that I originally mentioned. The port appears to be open when I check netstat (and openSSH indicates it's listening), but my local PC can't connect (it times out). At this point I'm assuming that the VPN has some sort of limitation on which ports you can connect to from external sources. The actual setup is:
Unfortunately I'm not really sure how to test if that's the problem or how to find out which ports are allowed... Any ideas would be greatly appreciated.
Windows box ----- VPN ----- S1 ---- S2
*Update* Looks like all ports aside from 22 are filtered when going through the VPN and I obviously can't listen on that, so I guess the only option is a local SSH tunnel. Oh well...