<s>[INST] How to percent-encode URL parameters in Python? If I do 
url = "http://example.com?p=" + urllib.quote(query)


It doesn't encode / to %2F (breaks OAuth normalization)
It doesn't handle Unicode (it throws an exception)

Is there a better library?
 [/INST] From the docs:
urllib.quote(string[, safe])


Replace special characters in string
  using the %xx escape. Letters, digits,
  and the characters '_.-' are never
  quoted. By default, this function is
  intended for quoting the path section
  of the URL.The optional safe parameter
  specifies additional characters that
  should not be quoted â its default
  value is '/'

That means passing '' for safe will solve your first issue:
>>> urllib.quote('/test')
'/test'
>>> urllib.quote('/test', safe='')
'%2Ftest'

About the second issue, there is a bug report about it here. Apparently it was fixed in python 3. You can workaround it by encoding as utf8 like this:
>>> query = urllib.quote(u"MÃ¼ller".encode('utf8'))
>>> print urllib.unquote(query).decode('utf8')
MÃ¼ller

By the way have a look at urlencode
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