The HMAC module page [1] says:

Note: The md5 hash has known weaknesses but remains the default for
backwards compatibility. Choose a better one for your application.

However, according to the "Hash Collision Q&A" [2] linked to from the
hashlib module [3], md5 is not vulnerable when used in an HMAC:

Q: Do these attacks break HMAC using MD5 or SHA-1?
A: No. Because of the way hash functions are used in the HMAC
construction, the techniques used in these recent attacks do not apply.

It seems like the note is incorrect.

1. http://docs.python.org/library/hmac.html
2. http://www.cryptography.com/cnews/hash.html
3. http://docs.python.org/library/hashlib.html

Bruce Schneier also says (regarding the SHA-1 collision attacks), "it
doesn't affect applications such as HMAC where collisions aren't important":

http://www.schneier.com/blog/archives/2005/02/sha1_broken.html

Are you proposing that the note be removed entirely (and ignore the results it is based on) or just reworded? If it were removed, I could imagine complaints. If reword, specifically how?

Since the note is incorrect, it seems like it should be removed. What "results it is based on" are you referring to and what complaints are you concerned about?

The supposed 'known weaknesses'. I have no particular opinion.
Anyway, we have your recommendation: remove the note.
I will let others defend it.

Removed note in r85617.