Construct and send an HTTP get request from scratch and print all the received data to the screen My concerns:
Is the code pythonic?
Does the receive_all function make the code any cleaner or should that functionally be apart of the get function?

import socket
import urlparse

CONNECTION_TIMEOUT = 0.30
CHUNK_SIZE = 1024
socket.setdefaulttimeout = CONNECTION_TIMEOUT
CRLF = "\r\n\r\n"

def receive_all(sock, chunk_size=CHUNK_SIZE):
    '''
    Gather all the data from a request.
    '''
    chunks = []
    while True:
        chunk = sock.recv(chunk_size)
        if chunk:
            chunks.append(chunk)
        else:
            break

    return repr(''.join(chunks))


def get(url, timeout=CONNECTION_TIMEOUT, chunk_size=CHUNK_SIZE):
    url = urlparse.urlparse(url)
    sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
    sock.settimeout(timeout)
    sock.setsockopt(socket.SOL_SOCKET, socket.SO_REUSEADDR, 1)
    sock.connect((url.netloc, url.port or 80))
    sock.send('GET {0} HTTP/1.0 {1}'.format(url.path or '/', CRLF))
    data = receive_all(sock)
    sock.shutdown(1)
    sock.close()
    return data

print(get('http://www.google.com/robots.txt', chunk_size=65535))
Review


  Is the code pythonic?


The code looks quite clean to me, but it never gets pythonic enough ;)


Some PEP-8 issues:


Don't mix single and double quotes;1
Leave two blank lines between the constants and the first function / class definition.2

Don't use repr(): repr() is meant to get a printable (human readable) 
version of an object. In this case, you don't even need to modify the chunks in any way, because they are already of the correct type (str).
You should consider a longer connection timeout. I find a second to be acceptable, but this of course depends on your use case.
There's usually no reason to set socket.SO_REUSEADDR. Regardless, doing so only has an effect if you bind the socket to an address after having done so.
socket.socket.send() does not guarantee that all of what you passed it was sent, instead, it returns the number of bytes sent. You may want to put that part in a loop to assure all data was sent. Or consider socket.socket.sendall().
If you choose to explicitly call socket.socket.shutdown(), make sure you get the argument right. 1 corresponds to socket.SHUT_WR, but you need to prevent reading and writing. Use module constants! socket.SHUT_RDWR is the answer.
I see you added a docstring for receive_all(). That's a nice start, but the docstring is a little generic. A more elaborate description of the arguments and return type and value would be helpful. The same goes for get(). If this were a library, get() would be part of the API, so documenting it should be a priority.

Make sure the documentation is accurate. 'Gather all the data from a request' makes it sound like the socket already made a request and the function merely modifies the response in some way and then returns it. That may give people the false impression that the function has no side effects, but it does!
Let's say you extend this piece of code, and add more helper functions. If one of them raises an exception, the socket is never closed, and you leave the server hanging. Luckily, Python sockets provide context manager capabilities out of the box. That means we can make sure resources are cleaned up:

with socket.socket(socket.AF_INET, socket.SOCK_STREAM) as sock:
    sock.settimeout(timeout)
    ...
return data


Turns out this has only been a feature since Python 3.2. One of the many reasons to switch to Python 3. Are you being forced to work with Python 2? A try / finally is probably the closest we can get:

try:
    sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
    sock.settimeout(timeout)
    ...
finally:
    sock.shutdown(socket.SHUT_RDWR)
    sock.close()




  Does the receive_all function make the code any cleaner or should that functionally be apart of the get function?


It's a good idea to extract functionality and put it in its own function, so yes, it does make the code cleaner. Should you be a big fan of OOP, a custom socket class extending from socket.socket, with a receive_all() method, would be the solution.

My take on it

import socket
import urlparse

CONNECTION_TIMEOUT = 0.30
CHUNK_SIZE = 1024
CRLF = "\r\n\r\n"

socket.setdefaulttimeout(CONNECTION_TIMEOUT)


def receive_all(sock, chunk_size=CHUNK_SIZE):
    """Receive all data from a socket, until EOF is reached.

    Arguments:
      - sock (socket.socket): The socket to receive from. This socket must
        be in a valid state, where it can receive data.
      - chunk_size (int) = 1024: The size of the chunks to receive, in
        bytes. Commonly a multiple of 2 (1024, 2048, 4096). When in doubt,
        do not change.

    Return:
      - (str) All the data received.
    """
    chunks = []
    while True:
        chunk = sock.recv(chunk_size)
        if chunk:
            chunks.append(chunk)
        else:
            break
    return "".join(chunks)


def get(url, timeout=CONNECTION_TIMEOUT, chunk_size=CHUNK_SIZE):
    """Get the HTTP response from a webserver.

    Arguments:
      - url (str): A URL (optionally with a scheme attached).
      - timeout (int / float) = 0.3: The number of seconds to wait before
        timing out. May also be less than 1; a timeout of 0.5 corresponds to
        half a second.
      - chunk_size (int) = 1024: The size of the chunks to receive, in bytes.
        Commonly a multiple of 2 (1024, 2048, 4096). When in doubt, do not
        change.

    Return:
      - (str): The HTTP response.
    """
    url = urlparse.urlparse(url)
    try:
        sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
        sock.settimeout(timeout)
        sock.connect((url.netloc, url.port or 80))
        sock.sendall("GET {0} HTTP/1.0 {1}".format(url.path or "/", CRLF))
        data = receive_all(sock)
    finally:
        sock.shutdown(socket.SHUT_RDWR)
        sock.close()
    return data

if __name__ == "__main__":
    print(get("http://www.google.com/robots.txt", chunk_size=65535))


References

1 PEP-8: String Quotes

2 PEP-8: Blank Lines