I think the problem is that pack(">d", float("nan")) does not work.  Same for Inf.  This works fine with pickle in ascii mode.  I tried this on SuSE 10.0, x86_64.

Python 2.4.2 (#2, Sep 10 2006, 23:53:27)
[GCC 4.1.1] on linux2
Type "help", "copyright", "credits" or "license" for more information.
>>> import pickle
>>> foo = [1, 2, float("nan")]
>>> foo
[1, 2, nan]
>>> fp = file("/tmp/xxx", "wb")
>>> pickle.dump(foo, fp, -1)
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
  File "/home/software/64/lib/python2.4/pickle.py", line 1382, in dump
    Pickler(file, protocol, bin).dump(obj)
  File "/home/software/64/lib/python2.4/pickle.py", line 231, in dump
    self.save(obj)
  File "/home/software/64/lib/python2.4/pickle.py", line 293, in save
    f(self, obj) # Call unbound method with explicit self
  File "/home/software/64/lib/python2.4/pickle.py", line 614, in save_list
    self._batch_appends(iter(obj))
  File "/home/software/64/lib/python2.4/pickle.py", line 647, in _batch_appends
    save(x)
  File "/home/software/64/lib/python2.4/pickle.py", line 293, in save
    f(self, obj) # Call unbound method with explicit self
  File "/home/software/64/lib/python2.4/pickle.py", line 489, in save_float
    self.write(BINFLOAT + pack('>d', obj))
SystemError: frexp() result out of range

This is fixed in 2.5 (and if you think it worked fine in ASCII mode, I don't think you tried moving your pickles between Linux and Windows systems...).