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sys.exit() exits the program when non-daemonic threads are still
running, in versions >= 2.5. 
Test included. A demonstration here: http://paste.pocoo.org/show/95766/
(On debian GNU/Linux)

It seems like this was introduced by the fix for Issue 1566280.
Note that the threading module docs clear state:
"A thread can be flagged as a "daemon thread". The significance of this
flag is that the entire Python program exits when only daemon threads
are left. The initial value is inherited from the creating thread. The
flag can be set through the daemon property."
This behavior violates it.
The WaitForThreading() fix in Py_Main works only if sys.exit() is not
called, which disagrees with the documentation.

Attached is a version of your program that calls sys.exit from a thread
other than the main one. That sys.exit does not cause python to shut
down. Exiting the main program by "falling off the end" does not result
in Python shutdown (pass an arbitrary argument to the example program to
see this). 
So what we have here, I believe, is a documentation problem, and I've
updated the issue to reflect that. Please note in particular the last
two caveats in the 'thread' docs; I don't consider these adequate
documentation, but they do seem to be relevant to the issue at hand.
Does this make sense to you?
Note that issue 6634 should also be addressed in any update to the
relevant areas of the documentation.

Is it actually just documentation? Before Python 2.5, things worked
according to the documentation, and nothing in the revisions that
changed the behavior suggested this change in behavior was intentional.
Moving the WaitForThreadShutdown() from Modules/main.c to Py_Finalize()
would also fix this problem - I wonder why that wasn't the original
change, as it more closely mirrors how Python 2.4 worked, and the
documentation suggests?