The docs give a fair indicator of what's required., however requests allow us to skip a few steps:
You only need to install the security package extras (thanks @admdrew for pointing it out)
$ pip install requests[security]
or, install them directly:
$ pip install pyopenssl ndg-httpsclient pyasn1
Requests will then automatically inject pyopenssl into urllib3
If you're on ubuntu, you may run into trouble installing pyopenssl, you'll need these dependencies:
$ apt-get install libffi-dev libssl-dev