Socket s = new Socket(InetAddress.getByName("stackoverflow.com"), 80);
PrintWriter pw = new PrintWriter(s.getOutputStream());
pw.println("GET / HTTP/1.1");
pw.println("Host: caiyongji.com");
pw.println("");
pw.flush();
BufferedReader br = new BufferedReader(new InputStreamReader(s.getInputStream()));
String t;
while((t = br.readLine()) != null) System.out.println(t);
br.close();

用 Java 自带的 HttpURLConnection 是做不到的，详情参考：
http://bugs.java.com/bugdatab...

可以考虑自己用 Socket 发送简单的 HTTP 请求，或者用第三方库。以 Apache HttpClient 为例：

HttpClient client = new DefaultHttpClient(); 
client.getParams().setParameter(CoreProtocolPNames.PROTOCOL_VERSION, HttpVersion.HTTP_1_0);