Figured out a workaround:

```go
client := &http.Client {}
req, _ := http.NewRequest("GET", "http://127.0.0.1:9292", nil)
// req.Header.Add("Host", "example.com") //=> shit doesn't work
req.Host = "example.com"
client.Do(req)
```

[Source](https://code.google.com/p/go/source/browse/src/pkg/net/http/request.go?name=go1.2#301)