Well, following your description I've backed out my urllib2 test case to this:

  f = urllib2.urlopen('https://localhost/boguspath')
  os.system("lsof -p %d | grep IPv4" % (os.getpid(),))
  f = urllib2.urlopen(R)
  print f.read()

and it happily runs HTTPS through the proxy if I set the https_proxy envvar. So it's all well and good for the "just do what the environment suggests" use case.

However, my older test:

  U = urllib2.Request('https://localhost/boguspath')
  U.set_proxy('localhost:3128', 'https')
  f = urllib2.urlopen(R)
  print f.read()

still blows up with:

  File "/opt/python-2.6.4/lib/python2.6/urllib2.py", line 381, in open
    protocol = req.get_type()
  AttributeError: HTTPResponse instance has no attribute 'get_type'

Now, this is the use case for "I have a custom proxy setup for this activity".

It seems a little dd that "req" above is an HTTPResponse instead of a Request, and that my be why there's no .ettype() method available.

I also see nothing obviously wrong with my set_proxy() call above based on the docs for the .set_proxy() method, though obviously it fails.

I think what may be needed is a small expansion of the section in the Examples are on proxies. There's an description of the use of the *_proxy envvars there (and not elsewhere, which seems wrong) and an example of providing a proxy Handler. An addition example with a functioning use of a bare .set_proxy() might help.