The method won't accept 08 or 09 as valid days, but will accept 07.

Here is my output:

Python 2.5.1c1 (release25-maint, Apr 12 2007, 21:00:25)
[GCC 4.1.2 (Ubuntu 4.1.2-0ubuntu4)] on linux2
Type "help", "copyright", "credits" or "license" for more information.
>>> import datetime
>>> t = datetime.date(2007, 05, 07)
>>> print t
2007-05-07
>>> t = datetime.date(2007, 05, 08)
  File "<stdin>", line 1
    t = datetime.date(2007, 05, 08)
                                 ^
SyntaxError: invalid token
>>> t = datetime.date(2007, 05, 09)
  File "<stdin>", line 1
    t = datetime.date(2007, 05, 09)
                                 ^
SyntaxError: invalid token
>>> t = datetime.date(2007, 05, 10)
>>> print t
2007-05-10
>>>

I was able to reproduce this on another machine as well:
Python 2.4.3 (#1, Aug  6 2006, 20:52:01)
[GCC 3.2.2 20030222 (Red Hat Linux 3.2.2-5)] on linux2
Type "help", "copyright", "credits" or "license" for more information.

Recommend closing this as not a bug.

A number with a leading zero is interpreted as octal literal, so trying to interpret 08 gives an error, since anything bigger than 7 isn't allowed in octal numbers.  For your examples above, you should do this:

t = datetime.date(2007, 5, 8)
t = datetime.date(2007, 5, 9)

and then it works as expected. 

Agreed -- not a bug.