urllib2.Request takes constructor args (url, data,
headers, ...) where data and headers are optional. 
data is described as a string which, if supplied,
causes urlopen to process the request as a POST rather
than a GET.  And there's no way to set headers without
passing a value for data.  So if you want to send a GET
with special headers, the docs leave you scratching
your head.

The solution is to pass None instead of a string for
data.  The doc should say that.

In general the urllib2 docs are somewhat dependent on
the urllib docs.  Some refactoring would be good.