I'd like to get this merged so I won't argue too much, but I disagree. Sometimes, you want to you different proxies for different requests. In a project I did just recently, I had to use a number of different proxies, selecting the appropriate one depending on which URL was being accessed - this could be done by setting up an intermediate proxies that delegates appropriately, or by making a bunch of different OkHttpClient instances... but that's not nearly as easy as just optionally passing the proxy to use to a method like how the URL.openConnection works. Plus - it's parity with URL.openConnection - isn't that good too? It'll make migration to OkHttp that little bit easier and straightforward.