diff -r 5973743a52a1 Lib/urllib/request.py
--- a/Lib/urllib/request.py	Sun Mar 06 18:10:58 2011 -0600
+++ b/Lib/urllib/request.py	Thu Apr 07 22:30:17 2011 +0300
@@ -819,6 +819,9 @@
                     if response and response.code != 401:
                         self.retried = 0
                     return response
+            else:
+                raise HTTPError(req.full_url, 401, "unsupported auth '%s'" % authreq,
+                                headers, None)
 
     def retry_http_basic_auth(self, host, req, realm):
         user, pw = self.passwd.find_user_password(realm, host)