PureWindowsPath("foo*") returns a path object, even though it is an invalid one (e.g., open("foo*") on Windows throws an OSError for "invalid argument" rather than a FileNotFoundError).  Given the amount of checking that is done in (e.g.) with_name and with_suffix, it seems reasonable to throw an exception in this case too.

Hmm, I am not sure. Is there a definite list of invalid Windows path characters, or can it be filesystem-specific?

There is a list of always forbidden characters (http://msdn.microsoft.com/en-us/library/windows/desktop/aa365247(v=vs.85).aspx#naming_conventions), and then a couple of obscure fs-dependent cases (http://en.wikipedia.org/wiki/Comparison_of_file_systems) but I believe excluding the main list should be enough for most purposes.
Note that PosixPath is not immune to this either, as there is one forbidden character: the null byte.

I would prefer if path.open() can only raise one of the OSError subclasses that correspond to errnos mentioned in "man 2 open".  Currently, on Windows, "Path('*').open()" raises an OSError ("invalid argument"); on Linux, "Path('\0').open()" raises a TypeError(!).