There appears to be most of the formatting options in the *printf 
family... except for the obvious %f. Why is this crucial option missing?

Do you expect to have support for float, double and long double ?
Also, do you expect to have support for precision-modifiers ?

Well, precision modifiers would be nice, but I don't think that they're
necessarily needed. General floating point support, however, is needed.

Attached is a patch attempting to provide support for %f with precision in PyString_FromFormat* based on file Objects/stringobject.c of Python 2.6b1.

Note, only %f is support but %lf is not and silently ignored.

Attached is another patch for file Objects/stringobject.c(relative to 
Python 2.6b1) which supports the double %f and long double %LF formats.  

However, %Lf is included only if symbol  LDBL_DIG is defined in header 
file <float.h> on the underlying platform.

This patch also handles the long and size_t flags correctly in the first 
loop to determine the size of the buffer under
    ...
    case 'd': case 'u': case 'i': case 'x':
    ...

Btw, it does not make sense to handle float since there is not formnat 
specification for floats.

Jean, you can increase *hugely* the possibility of this being accepted
if you submit a comprehensive suite test for this.

Thanks!!

Another rev of the patch now including updates to 2 documentation files: 
Doc/c-api/exceptions.rst and Doc/c-api/string.rst.  As before the patch is 
relative to the source of Python 2.6b1.

Where should test cases for the new formats in the PyString_FromFormat* 
and PyErr_Format functions be added?

The tests for PyString_FromFormat are in file Modules/_testcapimodule.c.

Attached is yet another update of the patch, this one also includes 3 
tests for the new %f format specification added to file 
Modules/_testcapimodule.c.

Here is another patch for PyString_FromFormat* adding support for 'l' and 
'z' type specifications for the '%x' format and an optional '#' to prepend 
'0x' to the hex result.  In addition, the '%p' format is handled as '%#x'.

Updates for the c-api tests and the documentation for exceptions and 
string are also included in the patch.

Like before, the patch is a forward delta to the files of Python 2.6b1.