I believe it is safe to drop all the _EXPORTS macros (MMAP_EXPORTS,
WINSOUND_EXPORRTS etc) from all projects; atleast I cannot see any
reason for having them. Some are clearly bogus, e.g. unicodedata and
test_capi both define MMAP_EXPORTS, _socket defines WINSOUND_EXPORTS,
and _ssl defines _SOCKET_EXPORTS.

You are right. I've checked the header files of the dependencies or
simply tried what happens when I remove some defines. The only macro
existing macro is BZ2_EXPORT but that's defined unless BZ2_IMPORT is
defined.

What about the remaining defines? I've copied them from the old projects:
_USRDLL - unknown to me
WIN32 - ?, is it even safe to define it for x64?
_WINDOWS - ?
_WIN32 - ?
_CRT_SECURE_NO_DEPRECATE - required to get rid of a bunch of warnings

See the MSDN for details. IIUC:
- _WIN32 is defined by the compiler, always, unless the platform is
WIN16 (which is no longer supported). It is even defined on Win64 (where
the compiler also defines _WIN64). So there should be no need to defined
it explicitly.
- WIN32 is checked-for in WinSock2.h. I couldn't figure out when
precisely it is supposed to be defined.
- _USRDLL apparently was once a mechanism of how to integrate with MFC.
It apparently isn't really used anymore in VS 2003 (afx.h still uses it
to trigger linkage of __afxForceUSRDL); I suppose it is safe to drop for
Python
- I couldn't quite figure out what _WINDOWS is good for.
- _CRT_SECURE_NO_DEPRECATE as you say, although that's also defined in
pyconfig.h.

WIN32 is required. Without WIN32 defined I'm getting errors in the
locale module. _WINDOWS seems to be obsolete.