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OK, after a quick bit of reading, I see why I'm confused: the clipboard actually works by requesting the text from the source program, so where you copy it from makes a difference. In my case, copying from firefox gives 'abc\\u20ac', and copying from Geany gives u'abc\xe2\x82\xac'.
However, I still think there's something that can be improved in Python. As Serhiy points out, specifying type='UTF8_STRING' makes it work properly from both programs. The Tcl documentation recommends this as the best option for "modern X11 systems"[1].
From what Ned says, we can't make UTF8_STRING the default everywhere, but is there a way to detect if we're inside X11, and use UTF8_STRING by default there?
[1] http://www.tcl.tk/man/tcl/TkCmd/clipboard.htm