Proxy with urllib2

You have to install a ProxyHandler

urllib2.install_opener(
    urllib2.build_opener(
        urllib2.ProxyHandler({'http': '127.0.0.1'})
    )
)
urllib2.urlopen('http://www.google.com')

To use the default system proxies (e.g. from the http_support environment variable), the following works for the current request (without installing it into urllib2 globally):

url = 'http://www.example.com/'
proxy = urllib2.ProxyHandler()
opener = urllib2.build_opener(proxy)
in_ = opener.open(url)
in_.read()

You can set proxies using environment variables.

import os
os.environ['http_proxy'] = '127.0.0.1'
os.environ['https_proxy'] = '127.0.0.1'

urllib2 will add proxy handlers automatically this way. You need to set proxies for different protocols separately otherwise they will fail (in terms of not going through proxy), see below.

For example:

proxy = urllib2.ProxyHandler({'http': '127.0.0.1'})
opener = urllib2.build_opener(proxy)
urllib2.install_opener(opener)
urllib2.urlopen('http://www.google.com')
# next line will fail (will not go through the proxy) (https)
urllib2.urlopen('https://www.google.com')

Instead

proxy = urllib2.ProxyHandler({
    'http': '127.0.0.1',
    'https': '127.0.0.1'
})
opener = urllib2.build_opener(proxy)
urllib2.install_opener(opener)
# this way both http and https requests go through the proxy
urllib2.urlopen('http://www.google.com')
urllib2.urlopen('https://www.google.com')

In Addition to the accepted answer:
My scipt gave me an error

File "c:Python23liburllib2.py", line 580, in proxy_open
    if '@' in host:
TypeError: iterable argument required

Solution was to add http:// in front of the proxy string:

proxy = urllib2.ProxyHandler({'http': 'http://proxy.xy.z:8080'})
opener = urllib2.build_opener(proxy)
urllib2.install_opener(opener)
urllib2.urlopen('http://www.google.com')

In addition set the proxy for the command line session
Open a command line where you might want to run your script

netsh winhttp set proxy YourProxySERVER:yourProxyPORT

run your script in that terminal.

One can also use requests if we would like to access a web page using proxies. Python 3 code:

>>> import requests
>>> url = 'http://www.google.com'
>>> proxy = '169.50.87.252:80'
>>> requests.get(url, proxies={"http":proxy})
<Response [200]>

More than one proxies can also be added.

>>> proxy1 = '169.50.87.252:80'
>>> proxy2 = '89.34.97.132:8080'
>>> requests.get(url, proxies={"http":proxy1,"http":proxy2})
<Response [200]>