Seems that on 64-bit machines cPickle is able to pickle floats smaller then DBL_MIN, but it's unable to unpickle them. 

64-bit machine (Solaris 10 on Sparc)
Python 2.4.4 (#1, Oct 26 2006, 10:01:37)
[GCC 3.3.4] on sunos5
Type "help", "copyright", "credits" or "license" for more information.
>>> import cPickle
>>> cPickle.dumps(1e-310)
'F9.9999999999999694e-311\n.'
>>> cPickle.loads(_)
Traceback (most recent call last):
  File "<stdin>", line 1, in ?
ValueError: could not convert string to float

Same thing works fine on 32-bit machine (P4 with MS Windows)
Python 2.4.3 (#69, Mar 29 2006, 17:35:34) [MSC v.1310 32 bit (Intel)] on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> import cPickle
>>> cPickle.dumps(1e-310)
'F0\n.'
>>>