There's not even reference documentation for the
exceptions used by urllib2. 

Documentation of what these are, how you're supposed to
handle them and what attributes you're supposed to play
with would be very handy.

I guess I'll just have to try and glean something from
the source :-S

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This is not correct, these exceptions are documented.

(from http://docs.python.org/lib/module-urllib2.html)

The following exceptions are raised as appropriate:

exception URLError
    The handlers raise this exception (or derived
exceptions) when they run into a problem. It is a subclass
of IOError. 

exception HTTPError
    A subclass of URLError, it can also function as a
non-exceptional file-like return value (the same thing that
urlopen() returns). This is useful when handling exotic HTTP
errors, such as requests for authentication. 

exception GopherError
    A subclass of URLError, this is the error raised by the
Gopher handler.

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True enough, I guess that some time in the last year this
got updated ;-)