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Consider this transcript from OS X 10.6:
>>> import locale
>>> locale.getlocale()
(None, None)
>>> locale.setlocale(locale.LC_ALL, _)
'C'
>>> locale.setlocale(locale.LC_ALL, 'en_US.UTF-8')
'en_US.UTF-8'
>>> locale.getlocale()
('en_US', 'UTF8')
>>> locale.setlocale(locale.LC_ALL, _)
Traceback (most recent call last):
 File "<stdin>", line 1, in <module>
 File "/System/Library/Frameworks/Python.framework/Versions/2.6/lib/python2.6/locale.py", line 494, in setlocale
 return _setlocale(category, locale)
locale.Error: unsupported locale setting
>>> 
OS X does not recognize 'en_US.UTF8', only 'en_US.UTF-8'. However, when passed a tuple, the locale module tries to normalize the values. It ends up turning the result of getlocale from ('en_US', 'UTF-8') into 'en_US.UTF8'.

Good news: it's a duplicate and it's already fixed! See issues #10090 and #10154. The fix is part of Python 3.1.4 (released the 12th june 2011) and Python 2.7.2 (released the 12 june 2011), and will be part of Python 3.2.1.

(Python 2.6 only accepts security fixes, no more bug fixes. It's time to upgrade to 2.7!)