I've updated cPickle.c to use class exceptions:

Changed pickle error types to classes:

  PickleError
     PicklingError
        UnpickleableError
     UnpicklingError

And change the handling of unpickleable objects so that an UnpickleableError
is raised with the unpickleable object as the argument.  UnpickleableError
has a reasonable string representation and provides access to the problem
object, which is useful during debugging.

[I'm still waiting for patches to do the same to pickle.py.]