Dominic Scheirlinck of VendHQ reports:

Many software projects and vendors have implemented support for the “Proxy” request header in their respective CGI implementations and languages by creating the “HTTPPROXY” environmental variable based on the header value. When this variable is used (in many cases automatically by various HTTP client libraries) any outgoing requests generated in turn from the attackers original request can be redirected to an attacker controlled proxy. This allows attackers to view potentially sensitive information, reply with malformed data, or to hold connections open causing a potential denial of service.

The Go programming language can automatically populate the HTTPPROXY environmental variable with a user supplied "Proxy" header.