We actually use a variant of this idea in the test suite (http://docs.python.org/dev/library/test#test.support.captured_stdout)

It would be pretty easy to combine the two concepts by defaulting the redirection to a new StringIO instance if no other destination is given:

print('This goes to stdout')
with redirect_stdout(sys.stderr):
     print('This goes to stderr')
     print('So does this')
print('This goes to stdout')
with redirect_stdout() as s:
     print('This goes to the io.StringIO instance "s"')
     print('So does this')
print('This goes to stdout')