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asyncore.poll is broken on windows. If a connection is
refused happens it will hang for ever and never raise
an exception.
The Select statment never checks the exfds. This is
needed as this is where windows reports failed
connections. The documentation in the microsoft
platform SDK mentions this. 
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/winsock/winsock/select_2.asp
The suggested fix is shown below althought this is
untested. The correct error number is recived from
getsockopt(SOL_SOCKET,SO_ERROR) 
def poll(timeout=0.0, map=None):
 if map is None:
 map = socket_map
 if map:
 r = []; w = []; e = []
 for fd, obj in map.items():
 if obj.readable():
 r.append(fd)
 if obj.writable():
 w.append(fd)
 if sys.platform == 'win32':
 if not obj.connected:
 e.append(fd)
 if [] == r == w == e:
 time.sleep(timeout)
 else:
 try:
 r, w, e = select.select(r, w, e, timeout)
 except select.error, err:
 if err[0] != EINTR:
 raise
 else:
 return
 if sys.platform == 'win32':
 for fd in e:
 obj = map.get(fd)
 if obj is None:
 continue
 errno =
fs.getsockopt(socket.SOL_SOCKET, socket.SO_ERROR)
 raise
socket.error,(errno,socketerrorTab[error])
 for fd in r:
 obj = map.get(fd)
 if obj is None:
 continue
 read(obj)
 for fd in w:
 obj = map.get(fd)
 if obj is None:
 continue
 write(obj)

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I was bitten by the same problem. My workaround (in a
Tkinter application) is given below.
Would it make sense to modify poll() to simply add the union
of r and w to e, and call handle_error() for any fd in e?
Workaround:
 try:
 self.connect(send_addr)
 except socket.error:
 self.handle_error()
 if sys.platform == 'win32':
 # Win98 select() doesn't seem to report errors for a
 # non-blocking connect().
 self.__connected = 0
 self.__frame.after(2000, self.__win_connect_poll)
...
 if sys.platform == 'win32':
 def __win_connect_poll (self):
 if self.__connected:
 return
 e = self.socket.getsockopt(socket.SOL_SOCKET,
 socket.SO_ERROR)
 if e in (0, errno.EINPROGRESS, 
errno.WSAEINPROGRESS):
 self.__frame.after(2000, self.__win_connect_poll)
 else:
 try:
 str = socket.errorTab[e]
 except KeyError:
 str = os.strerror(e)
 try:
 raise socket.error(e, str)
 except socket.error:
 self.handle_error()

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Patch #909005 fixes the problem.

I am looking into applying a variant of portions of #909005 to fix this bug.

Looks like this one was solved in issue 909005, does anyone disagree?

According to Garth, sockets that don't connect on Windows get put into 
the error sockets list.
According to John, you need to poll sockets to determine whether or not 
the attempted connection was refused.
If Garth is right, the problem is fixed, though we aren't quite 
retrieving the correct error code on win32. If John is right, we need 
to repeatedly check for error conditions on sockets that are trying to 
connect to a remote host, and the problem is not fixed.

This issue is not fixed. Another workaround would be the `win32select` function from twisted: http://twistedmatrix.com/trac/browser/trunk/twisted/internet/selectreactor.py#L23 

Is it worth leaving this open given the arrival of the new asyncio module in Python 3.4?

This issue was opened 11 years ago, when Windows 95, 98, Me, 2000 and XP were used. Python is going to drop support of Windows XP, and most older versions are already no more supported. Does this issue still exist in recent Windows versions? I'm not aware of such bug.
Does asyncio have the bug?

"Workaround: (...)
e = self.socket.getsockopt(socket.SOL_SOCKET, socket.SO_ERROR)"
Oh, it looks like the issue was already fixed 4 years ago:
---
changeset: 63720:ba7353147507
branch: 3.1
parent: 63716:915b028b954d
user: Giampaolo Rodolà <g.rodola@gmail.com>
date: Wed Aug 04 09:04:53 2010 +0000
files: Lib/asyncore.py Misc/ACKS Misc/NEWS
description:
Merged revisions 83705 via svnmerge from
svn+ssh://pythondev@svn.python.org/python/branches/py3k
........
 r83705 | giampaolo.rodola | 2010年08月04日 11:02:27 +0200 (mer, 04 ago 2010) | 1 line
 fix issue #2944: asyncore doesn't handle connection refused correctly (patch by Alexander Shigin). Merged from 2.7 branch.
........
diff -r 915b028b954d -r ba7353147507 Lib/asyncore.py
--- a/Lib/asyncore.py Wed Aug 04 04:53:07 2010 +0000
+++ b/Lib/asyncore.py Wed Aug 04 09:04:53 2010 +0000
@@ -426,8 +426,11 @@ class dispatcher:
 self.handle_read()
 
 def handle_connect_event(self):
+ err = self.socket.getsockopt(socket.SOL_SOCKET, socket.SO_ERROR)
+ if err != 0:
+ raise socket.error(err, _strerror(err))
+ self.handle_connect()
 self.connected = True
- self.handle_connect()
 
 def handle_write_event(self):
 if self.accepting:
...
---

Note: asyncio also calls getsockopt(SOL_SOCKET,SO_ERROR) to check if the connect() succeeded or not, and so it doesn't have this bug.