On my machine (Ubuntu 11.04) the link to "Python Module Index" from the index page is incorrect in the "Indices and tables" section (it links to    
modindex.html instead of py-modindex.html).
It links to the correct place in the navigation bar at the top right of the page.

Navigation (Correct): 
<li class="right" >
    <a href="py-modindex.html" title="Python Module Index">modules</a> 
|</li>

In the body (Incorrect):
 <p><strong>Indices and tables:</strong></p>
  ...
  <p class="biglink"><a class="biglink" href="modindex.html">Global Module Index</a><br/
  ...

This seems to affect python2.6 and python2.7 documentation.

(Indices and tables) link for these files:
file:///usr/share/doc/python2.6/html/index.html
file:///usr/share/doc/python2.6-doc/html/index.html

Link to: 
file:///usr/share/doc/python2.6/html/modindex.html
file:///usr/share/doc/python2.6-doc/html/modindex.html

When they should link to:
file:///usr/share/doc/python2.6/html/py-modindex.html
file:///usr/share/doc/python2.6-doc/html/py-modindex.html

Likewise:
file:///usr/share/doc/python2.7/html/index.html
file:///usr/share/doc/python2.7-doc/html/index.html

Link to:
file:///usr/share/doc/python2.7/html/modindex.html
file:///usr/share/doc/python2.7-doc/html/modindex.html

When they should link to:
file:///usr/share/doc/python2.7/html/py-modindex.html
file:///usr/share/doc/python2.7-doc/html/py-modindex.html

I searched the python bug tracker for a similar issue and could not find one.
I do not know if this affects python3.x Documentation also as I do not have it installed so have not checked. 
I am not sure if this is an Ubuntu issue or Python Docs Issue.

Can you clone the repository, build the doc with “make html” as explained in http://docs.python.org/documenting/building and tell us if the bug is there?  If not, it’s specific to Debian or Ubuntu.

2.x docs are supposed to be built with Sphinx 0.6.x -- there the link is correct.

If Ubuntu chooses to ignore this and build with 1.0.x, they will have to include a patch fixing the link.