The docs are currently missing the Digest Based auth, however the code is in the demo. NetTalk provides a method that creates the authorization for you:
ThisWebClient.Authorization = ThisWebClient.CreateAuthorizationString (Username, Password, AuthenticationType)
ThisWebClient.ProxyAuthorization = ThisWebClient.CreateAuthorizationString (ProxyUsername, ProxyPassword, ProxyAuthenticationType)
The AuthenticationType parameters is set to Net:WebBasicAuthentication (0) for Basic or Net:WebDigestAuthentication (1) for Digest based auth. See the TestWebClient procedure in the NetTalk Demo example.
In terms of NTLM it is not supported and is unlikely to ever be. It is an undocumented, proprietary protocol. It is only used by Microsoft and is intended for authentication between Microsoft Products. There are a few open source project attempting to built NTLM compatible libraries, although it is something of a moving target.