Python (2.4 and 2.5 tested) seems to have problems when an exception is thrown that contains non-ASCII text as a message.

In my case I constructed an exception like

>>> try:
...     raise Exception(u'Error when printing ü')
... except Exception, e:
...     print e
...
Traceback (most recent call last):
  File "", line 4, in ?
UnicodeEncodeError: 'ascii' codec can't encode character u'\xfc' in position 20:
ordinal not in range(128)

That's at least what the tutorial advocates [1].
Same with unicode(e) instead of the print directive.

Using unicode(e, 'utf8') doesn't do the job:
TypeError: coercing to Unicode: need string or buffer, instance found

A method __unicode__() doesn't seem to exist [2], and thus I'm only left with:

>>> try:
...     raise Exception(u'Error when printing ü'.encode('utf8'))
... except Exception, e:
...     print e
...
Error when printing ü

UTF-8 is my systems default encoding.

It seems I'm not the first one to stumble upon this behavior [3], I just wonder why an error like this can still exist in 2008. Maybe I should file a bug report.
Update: the bug report