I'm seeing this too on OS X, with Python 2.6.

Python 2.6.1+ (release26-maint:68182M, Jan  2 2009, 23:13:43) 
[GCC 4.0.1 (Apple Inc. build 5490)] on darwin
Type "help", "copyright", "credits" or "license" for more information.
>>> import cPickle
>>> cPickle.dumps(1e-307)
'F9.9999999999999991e-308\n.'
>>> cPickle.loads(_)
9.9999999999999991e-308
>>> cPickle.dumps(1e-308)
'F9.9999999999999991e-309\n.'
>>> cPickle.loads(_)
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
ValueError: could not convert string to float

Same results on trunk, and (using pickle instead of cPickle, and 
specifying protocol 0 explicitly) for 3.x.

I'll see if I can figure out where this is coming from.