If a lot is really a lot than you probably want use asynchronous io not threads.
GRequests allows you to use Requests with Gevent to make asynchronous HTTP Requests easily.
import grequests
urls = [
'http://www.heroku.com',
'http://tablib.org',
'http://httpbin.org',
'http://python-requests.org',
'http://kennethreitz.com'
]
rs = (grequests.get(u) for u in urls)
grequests.map(rs)