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I'm going to buy one of them today for use in a logo/identity project, and for the use in the logo (all caps) they look pretty similar. Aside from very slight stylistic things, the main differences I can see is that Gotham has 8 weights instead of 7, and Proxima comes with small caps.
Been thinking about this for a while (I don't buy big font familiess that often) and I am having a really hard time deciding.