After applying the patch, it builds fine here and the test suite passes.  However, it seems to leak quite a bit -- if I run regrtest with -R::, my system starts swapping heavily after the second run.

In lzmamodule, there are lots of API calls that aren't error-checked, e.g.

  PyDict_SetItemString(filter, "dict_size", PyLong_FromLong((long)lzma_options.dict_size));

General comments: please don't introduce tabs and trailing whitespace in C and Python files, and wrap your lines at 79 characters whenever possible.  reST function/class directives need a blank line after the signature.  (But don't worry about the markup too much, I'll review the new file anyway after commit.)

@pitrou: Why is this marked "Python 3.3"?  If the error handling in the C module is corrected, it's in a good enough shape to be committed before 3.2b1, and the remaining bugs ironed out until final.