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In case anyone is wondering, I'm leaving this open in case Michael thinks it is a good idea to add some sort of documentation note about this. I'm not sure it is, because this is fundamental to the way Python works. On the other hand, I can't think of any specific manual or tutorial section we could direct someone to to get an explanation of what is going on.
This one comes close: http://docs.python.org/2/faq/programming.html#how-can-my-code-discover-the-name-of-an-object but doesn't tell the whole story since it doesn't cover pickle.