dir(object) returns 
['__class__', '__delattr__', '__doc__', '__getattribute__',
'__hash__', '__init__', '__new__', '__reduce__', '__reduce
_ex__', '__repr__', '__setattr__', '__str__']

The __name__ method is not reported

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Are you sure that the object has an actual __name__ attribute 
(and not something computed by a __getattr__ method)?

>>> import sys
>>> dir(sys)
['__displayhook__', '__doc__', '__excepthook__', '__name__', 
'__stderr__', '__stdin__', '__stdout__', '_getframe', 'api_version', 
'argv', 'builtin_module_names', 'byteorder', 'call_tracing', 
'callstats', 'copyright', 'displayhook', 'exc_clear', 'exc_info', 
'exc_type', 'excepthook', 'exec_prefix', 'executable', 'exit', 
'exitfunc', 'getcheckinterval', 'getdefaultencoding', 'getdlopenflags', 
'getfilesystemencoding', 'getrecursionlimit', 'getrefcount', 
'hexversion', 'maxint', 'maxunicode', 'meta_path', 'modules', 'path', 
'path_hooks', 'path_importer_cache', 'platform', 'prefix', 'ps1', 'ps2', 
'setcheckinterval', 'setdlopenflags', 'setprofile', 'setrecursionlimit', 
'settrace', 'stderr', 'stdin', 'stdout', 'version', 'version_info', 
'warnoptions']
>>> sys.__name__
'sys'

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After a message from the submitter, it's apparent he was referring 
to class objects not showing '__name__' attributes in dir() output.  
This is a case of an attribute not being visible to dir() because it's 
not directly present in the object's __dict__ and is trapped at 
evaluation time by __getattr__().  Short of hacking dir() or adding 
a special attribute ("__attributes__"?) to objects which have 
__getattr__() methods I don't see a way around this problem.

Wasn't there discussion of such an attribute which would expose 
such dynamic attributes to dir()?  I don't see anything in the 
implementation of PyObject_Dir().

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I'm not convinced that attributes dynamically provided by
__getattr__() aren't actual attributes; it would be best if
dir() reported them if they're available via getattr(ob,
name).  Whether or not this is practical is another matter.

I've just closed documentation bug #952212, so at least the
presence of the __name__ attribute on types and classes is
mentioned somewhere.

I'm re-classifying this bug report, since the dynamic
behavior of dir() is not a documentation issue.

__name__ comes from object's meta class type just as other attributes
like __bases__. It's a bit surprising at first.