In the meantime urllib2 seems to verify server certificates by default. The warning, that was shown in the past disappeared for 2.7.9 and I currently ran into this problem in a test environment with a self signed certificate (and Python 2.7.9).
My evil workaround (don't do this in production!):
import urllib2
import ssl
ctx = ssl.create_default_context()
ctx.check_hostname = False
ctx.verify_mode = ssl.CERT_NONE
urllib2.urlopen("https://your-test-server.local", context=ctx)
According to docs calling SSLContext constructor directly should work, too. I haven't tried that.