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This code:
 class Sudoku(dict):
 COLUMNS = [
 {(x, y) for y in xrange(9)} for x in xrange(9)
 ]
When run on Python 2.7.5, fails with this traceback:
 Traceback (most recent call last):
 File "<pyshell#3>", line 1, in <module>
 class Sudoku(object):
 File "<pyshell#3>", line 3, in Sudoku
 {(x, y) for y in xrange(9)} for x in xrange(9)
 File "<pyshell#3>", line 3, in <setcomp>
 {(x, y) for y in xrange(9)} for x in xrange(9)
 NameError: global name 'x' is not defined
Yet `x` is clearly not a global - it's defined in the comprehension.
Running the comprehension outside of the class gives no error:
 >>> [
 {(x, y) for y in xrange(9)} for x in xrange(9)
 ]
 [set([...]), ...]
Nor does using `set`:
 class Sudoku(dict):
 COLUMNS = [
 set((x, y) for y in xrange(9)) for x in xrange(9)
 ]

This is not at first glance, a duplicate of 3692 - in that case, the list comprehension is referring to another class variable.
Most notably, that describes a behavioural change introduced by python 3 - in this case, python 3 handles it correctly - there's a bug in the python 2 implementation.

While I agree that this isn't an exact duplicate of #3692, the underlying cause is the same, and Python is working as designed and documented in this case.
In Python 2, list comprehensions don't have their own scope, so the `x` in your initial example lives at class scope. However, the set comprehension *does* have its own scope. By design, a variable defined at class scope is not visible to inner scopes inside that class.
In Python 3, this works because the list comprehension has its own scope.
See the documentation here:
http://docs.python.org/2/reference/executionmodel.html#naming-and-binding
and the `class A` example in particular.
Reclosing: there's no way this behaviour going to change in Python 2, and this particular case is no longer an issue in Python 3.

"won't fix" is probably a better resolution. But in the absence of that apostrophe-rich option, I'll use "wont fix" instead.

Thanks for the clarification - this behavior now makes perfect sense to me. As expected, swapping the list comprehension for a generator comprehension, or vice versa, prevents the error.