Research how `*_proxy` environment variables are used in various tools

This issue's purpose is for me to gather the most important bits of information regarding *_proxy usage in various tools and languages.

Update:

So far I've researched Curl, Wget, Golang and Ruby.
These by themselves demonstrate the inconsistency with regards to using *_proxy through environment variables.

As such, the only conclusion I can draw at the time of writing is to always provide the lowercase and uppercase variant, and to ensure that its values are not different due to precedence differences.