Proteoglycans are proteins that are covalently bonded at multiple sites along the protein chain to a class of polysaccharides, known as glycosaminoglycans. Glycosaminoglycans constitute approximately 95% of the mass of proteoglycans by weight, which results in proteoglycans bearing a resemblance more to polysaccharides than to proteins. The physiological properties of proteoglycans are a function of the particular glycosaminoglycans present. Examples of common glycosaminoglycans are chondroitin 6-sulfate, keratan sulfate, heparin, dermatan sulfate, and hyaluronate. As a result of the ionic character of glycosaminoglycans, proteoglycans carry at least one negatively charged carboxylate or sulfate functional group under physiological conditions. Examples of proteoglycans include Versican, Brevican, Neurocan, and Aggrecan.
As the name implies, proteoglycans are essentially proteins that have been glycosylated. These proteins are synthesized in the Rough Endoplasmic Reticulum by ribosomes, and are then transported by vesicles to the Golgi Apparatus, where the proteins are modified into various forms. Proteoglycans are among these modified forms. Upon completion of synthesis, the proteoglycans are transported to the Extracellular Matrix by vesicles. 
Proteoglycans are a significant component in the Extracellular Matrix. The major functions/purpose of proteoglycans depends on the glycosaminoglycan component of the molecule. This component allows connective tissues of the Extracellular Matrix (ECM) to be able to withstand compressional forces through hydration and swelling pressure to the tissue. Aggrecan best portrays this particular function.
In addition to Aggrecan are other proteoglycans such as Lumican, Decorin, Perlecan, Fibromodulin and Biglycan, each serving different functions according to their components. 
In biological systems, proteoglycans constitute the structural building blocks of connective tissue; additionally, proteoglycans serve as joint lubricants. The most well studied proteoglycan, called aggrecan, is found alongside collagen as the main components of cartilage. The negative charges on the repeating glycosaminoglycan units of aggrecan attract water absorption. As a result, aggrecan acts as a cushion for impact retention by absorbing and desorbing water. This role is particularly important in between joints that sustain high amounts of impact in mammalian bodies, such as the knees. Aggrecan has also been found to take an important role in the central nervous system. It is one of many proteoglycans that inhibit neuronal growth, movement, and interaction. These proteoglycans are important for keeping the pathways established in young, developing animal brains during adulthood; however they are also the reason adult brains are less likely to establish new connections than the developing brain. Recent work has hinted that aggrecan is an important contributor to aging neuronal loss and dementia.
Lumican belongs to a family of proteoglycans called Small Leucine-Rich Proteoglycans. It is most well known for its importance in healing and scar tissue formation in mammals. Recent studies in mice show that it specifically helps mediate the migration of chemokines (cytokines responsible for preventing infection and promoting wound healing) to injured sites in the skin. Mice that lack the gene encoding named LUM for encoding the protein Lumican have tissue defects and poor immune responses to infections. Lumican's role in healing injured sites is not completely understood, however the protein's moiety allows collagen fibrils and charged hydrophilic gylcosaminogyclans to bind into interfibrillar spacings. Lumican as a keratan sulfate proteoglycan forms interstitial collagenous matrices within an injured site, which not only aids in wound closing, but protection of the inflammatory site against infections. In addition, Lumican regulates collagent organization, spatial growth, corneal transparency, cell migration, and tissue repair.
 Berg, Jeremy M., Tymoczko, John L., and Stryer, Lubert. Biochemistry. 6th ed. New York, N.Y.: W.H. Freeman and Company, 2007: 312, 313.
 Proteoglycan. (n.d.). In Wikipedia. Retrieved November 17, 2009, from http://en.wikipedia.org/wiki/Proteoglycan.
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 Lee, S, & Lee, S. (2009). Extracellular Matrix Lumican Deposited on the Surface of Neutrophils Promotes Migration by Binding to Î²2 Integrin. The Journal of biological chemistry, 284(35), 23662-.