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Running:
Python 2.7.2 (default, Jun 12 2011, 14:24:46) [MSC v.1500 64 bit (AMD64)]
Code:
import copy
copy.copy(iter([1,2,3]))
Exception:
---------------------------------------------------------------------------
TypeError Traceback (most recent call last)
T:\languages\Python27\Scripts\<ipython-input-2-4b0069a09ded> in <module>()
----> 1 copy.copy(iter([1,2,3]))
T:\languages\Python27\lib\copy.pyc in copy(x)
 94 raise Error("un(shallow)copyable object of type %s" % cl
s)
 95
---> 96 return _reconstruct(x, rv, 0)
 97
 98
T:\languages\Python27\lib\copy.pyc in _reconstruct(x, info, deep, memo)
 327 if deep:
 328 args = deepcopy(args, memo)
--> 329 y = callable(*args)
 330 memo[id(x)] = y
 331
T:\languages\Python27\lib\copy_reg.pyc in __newobj__(cls, *args)
 91
 92 def __newobj__(cls, *args):
---> 93 return cls.__new__(cls, *args)
 94
 95 def _slotnames(cls):
TypeError: object.__new__(listiterator) is not safe, use listiterator.__new__()
Either this is a bug or not a clear error message in the exception

I get a normal exception.
I see ipython at the top level in 'T:\languages\Python27\Scripts\<ipython-input-2-4b0069a09ded> in <module>()'
Perhaps you ran ipython accidentally?

@Ramchandra: I think you referring to the traceback format (which is indeed less useful than a normal Python traceback in the context of this tracker). The OP, however, is referring to the exception itself:
 TypeError: object.__new__(listiterator) is not safe, use listiterator.__new__()
This is indeed a bit unexpected, though I don't know that copying iterators is actually supported.

C:\Users\Jakob>python -c "import copy; copy.copy(iter([1,2,3]))"
Traceback (most recent call last):
 File "<string>", line 1, in <module>
 File "T:\languages\Python27\lib\copy.py", line 96, in copy
 return _reconstruct(x, rv, 0)
 File "T:\languages\Python27\lib\copy.py", line 329, in _reconstruct
 y = callable(*args)
 File "T:\languages\Python27\lib\copy_reg.py", line 93, in __newobj__
 return cls.__new__(cls, *args)
TypeError: object.__new__(listiterator) is not safe, use listiterator.__new__()
C:\Users\Jakob>python3 -c "import copy; copy.copy(iter([1,2,3]))"
Traceback (most recent call last):
 File "<string>", line 1, in <module>
 File "T:\languages\Python32\lib\copy.py", line 97, in copy
 return _reconstruct(x, rv, 0)
 File "T:\languages\Python32\lib\copy.py", line 285, in _reconstruct
 y = callable(*args)
 File "T:\languages\Python32\lib\copyreg.py", line 88, in __newobj__
 return cls.__new__(cls, *args)
TypeError: object.__new__(list_iterator) is not safe, use list_iterator.__new__()
Pure python traceback. Just for clarity.

BTW, can we add support for copying iterators by using itertools.tee

Title corrected. Non-iterator iterables are usually easy to copy.
I think this is in the category of "don't do that" ;-)
I believe the idea of making iterators copyable has been rejected on one of the lists because it is probably not possible in general.
Tee consumes indefinite and unbounded space. Its use should be explicit. If a function needs to iterate more than once with an input iterable, it should explicitly do list(iterator) for iterator inputs.
See Raymond's comments, such as msg156720 in #14288.
So I suspect that raising an error for copy.copy(iter([])) is correct. The error message amounts to saying make a new instance with the class constructor. That is usually correct when copy is not possible, but not in this case. ListIterator.__new__ is the inherited object.__new__. It appears that ListIterators can only be constructed by list.__iter__. But I doubt that the code that raises the error message can know that.
But perhaps the error message can be improved anyway.

Before anyone else rushes of to do this, can I? I really want to break into python-dev and this might be my chance.

Please, give it a try. But also be prepared for it being harder than it looks; the problem is that there may be very limited knowledge available where the error is generated. (I don't know; I haven't looked at the code and am not likely to...I usually leave reviews of C code to our C experts.)

Actually the tp_new field of list iterator class is NULL. Unpickler raises other error in such case (see issue24900 for example).
 UnpicklingError: NEWOBJ class argument has NULL tp_new
Backported to 2.7 the part of the patch for issue22995 fixes this issue.
>>> copy.copy(iter([]))
Traceback (most recent call last):
 File "<stdin>", line 1, in <module>
 File "/home/serhiy/py/cpython-2.7/Lib/copy.py", line 88, in copy
 rv = reductor(2)
TypeError: can't pickle listiterator objects