Based on a short discussion on python-dev: 
http://mail.python.org/pipermail/python-dev/2009-November/094306.html

the "Warning" box in the documentation for sys.exc_info needs to be 
updated in light of PEP 3134, and perhaps moved elsewhere since the 
circular reference problem can now occur whether or not the traceback 
returned by sys.exc_info is used.

It might also be worth mentioning that the way to break the circular 
reference, if necessary, is to explicitly set the __traceback__ member 
of the handled exception to None.