Please have a look at this patch.
- Included a CaseInsensitiveDict Lookup for Headers interface.
- Headers will now be .title()-ed instead of .capitalized() ed.
- Included Tests for the changes made.

In the test_urllib2, I have not removed this line (yet).
"The Request.headers dictionary is not a documented interface.."
- I shall attach the patch to the documentation next. Will this suffice
to remove the declaration of "not a documented interface"?

Please provide your comments on the attached patch. If this is fine, I
shall do the same modifications for py3k and patch docs as well.

Thanks!