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Here is an annotated session that shows some incorrect
exceptions raised with bad input. I'm assuming that it
is intended that when attempting to load a pickle file,
we should only have to check for UnpicklingError, not
for several other possible exceptions.
>>> import sys
>>> sys.version
'2.2 (#1, Dec 26 2001, 16:14:13) \n[GCC 2.96 20000731
(Mandrake Linux 8.1 2.96-0.62mdk)]'
Problem 1: Attempting to load an empty file produces an
EOFError exception, but should probably produce an
UnpicklingError exception. This happens with both
pickle and cPickle.
>>> import cPickle as pickle
>>> import pickle as pk
>>> f=open("/dev/null") # Empty file
>>> ff=StringIO("asdfasdfasdfasdfasdfasdf") # Garbage
file
>>> pickle.load(f)
Traceback (most recent call last):
 File "<stdin>", line 1, in ?
EOFError
>>> pk.load(f)
Traceback (most recent call last):
 File "<stdin>", line 1, in ?
 File "/usr/lib/python2.2/pickle.py", line 977, in
load
 return Unpickler(file).load()
 File "/usr/lib/python2.2/pickle.py", line 592, in
load
 dispatch[key](self)
 File "/usr/lib/python2.2/pickle.py", line 606, in
load_eof
 raise EOFError
EOFError
Problem 2: With cPickle, loading a garbage file
produced and IndexError, not an Unpickling error.
>>> pk.load(ff)
Traceback (most recent call last):
 File "<stdin>", line 1, in ?
 File "/usr/lib/python2.2/pickle.py", line 977, in
load
 return Unpickler(file).load()
 File "/usr/lib/python2.2/pickle.py", line 592, in
load
 dispatch[key](self)
 File "/usr/lib/python2.2/pickle.py", line 746, in
load_dict
 k = self.marker()
 File "/usr/lib/python2.2/pickle.py", line 600, in
marker
 while stack[k] is not mark: k = k-1
IndexError: list index out of range

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The documentation of UnpicklingError says
Note that other exceptions may also be raised during
unpickling, including (but not necessarily limited to)
\exception{AttributeError} and \exception{ImportError}.
So I'm not so sure that there is a bug.

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Actually, I want EOFError on the file-like object 
returning ''; the empty string IS an end of file 
indication. That's what I'm looking for when there are a 
varying number of objects, and yes, I use it a lot.
So please DO NOT make end of file return an UnpicklingError.

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user_id=35752
I added IndexError and EOFError to the list of example
exceptions that unpickle can raise. Closing this bug.