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For HTTP header field names parsing, see http://tools.ietf.org/html/draft-ietf-httpbis-p1-messaging-22#section-3.2.4
 No whitespace is allowed between the header field-name and colon. In
 the past, differences in the handling of such whitespace have led to
 security vulnerabilities in request routing and response handling. A
 server MUST reject any received request message that contains
 whitespace between a header field-name and colon with a response code
 of 400 (Bad Request). A proxy MUST remove any such whitespace from a
 response message before forwarding the message downstream.
In python3.3 currently
 
>>> import urllib.request
>>> req = urllib.request.Request('http://www.example.com/')
>>> req.add_header('FoO ', 'Yeah')
>>> req.header_items()
[('Foo ', 'Yeah'), ('User-agent', 'Python-urllib/3.3'), ('Host', 'www.example.com')]
The space has not been removed. So we should fix that at least. This is a bug. I'm not familiar with the specific security issues mentioned in the spec. 
Note that many things can be done too: :/
>>> req.add_header('FoO \n blah', 'Yeah')
>>> req.add_header('Foo:Bar\nFoo2', 'Yeah')
>>> req.header_items()
[('Foo:bar\nfoo2', 'Yeah'), ('Foo \n blah', 'Yeah'), ('Foo ', 'Yeah'), ('User-agent', 'Python-urllib/3.3'), ('Host', 'www.example.com')]
I will check for making a patch tomorrow.