Thanks Nick and Amaury!

Amaury, what times are you seeing? It could be a just-gcc speedup, but I
wouldn't have thought so since the patch eliminates 2 times around the
eval loop. It could be that the overhead of WITH_CLEANUP is high enough
to drown out those iterations. You had mentioned optimizing the
PyObject_CallFunctionObjArgs() call before. If you're still seeing with
significantly slower than try, that's probably the right place to look.

Here are my current timings. To avoid the lock issues, I wrote
simple_cm.py containing:

class CM(object):
    def __enter__(self):
        pass
    def __exit__(self, *args):
        pass

$ ./python.exe -m timeit -s 'import simple_cm; cm = simple_cm.CM()'
'with cm: pass'
1000000 loops, best of 3: 0.885 usec per loop
$ ./python.exe -m timeit -s 'import simple_cm; cm = simple_cm.CM()'
'cm.__enter__()' 'try: pass' 'finally: cm.__exit__()'
1000000 loops, best of 3: 0.858 usec per loop

If __exit__ doesn't contain *args (making it not a context manager), the
try/finally time goes down to:
$ ./python.exe -m timeit -s 'import simple_cm; cm = simple_cm.CM()'
'cm.__enter__()' 'try: pass' 'finally: cm.__exit__()'
1000000 loops, best of 3: 0.619 usec per loop

I think in theory, with could be slightly faster than finally with the
same argument list, but it's pretty close now.