python httplib snippet
Looks pretty good to me. Regarding conn.close(), definitely don't put this in its own try statement, because if there's a problem with the earlier code, the connection might not get closed. I know you're not using Python 3, but ss an alternative, you might consider using the with statement and let Python handle the closing for you. See http://docs.python.org/2/tutorial/inputoutput.html#methods-of-file-objects (end of section) and http://docs.python.org/2/library/contextlib.html#contextlib.closing

Your code might look like this:

import httplib
import json
from contextlib import closing

def getReviewStatus(reviewboardUrl, id):
    try:
        with closing(httplib.HTTPConnection(reviewboardUrl, 80)) as conn:
            headers = {
                'Accept': 'application/json',
                'Content-Type': 'application/json; charset=UTF-8'
            }
            conn.request("GET", "/api/review-requests/%s/" % id, headers=headers)
            return json.loads(conn.getresponse().read())['review_request']['status']
    except:
        return ""


I find it's good to get into the habit of using with to open resources so don't have to worry about forgetting to close the connection.