The definition of daemon thread in the current documentation reads:

«A thread can be flagged as a "daemon thread". The significance of this flag is that the entire Python program exits when only daemon threads are left. [...]»
(http://docs.python.org/library/threading.html#thread-objects)

I think it's not very clear from this that daemon threads themselves terminate when the program (main thread plus other non-daemon threads) terminates. I think this have to be said more explicitly. I'd propose a change with something like:

«A thread can be flagged as a "daemon thread", which means it will get shut down when the overall program terminates. The entire Python program exits when only daemon threads are left.»