Why transaction is signed with locking script from the input transaction? Finally, I've successfully made a raw transaction with Python and this is the last thing, which is totally mistic for me. 

In my case, here's the input transaction and it's locking script is:

OP_DUP OP_HASH160 dab3cccc50d7ff2d1d2926ec85ca186e61aef105 OP_EQUALVERIFY OP_CHECKSIG


Why it's necessary to set up the unlocking script to the input's locking script before signing? In my understanding, all the stuff should work well even with blank locking script, because in fact we're signing only other parameters. Unlocking script and unlocking script lenght will be changed anyway, so what's the reason?
There is no definitive answer here, and you'd need to ask the system's creator to be sure.

My guess is that it was due to interaction with a feature that we're now calling 'delegation': the ability for someone to presign a transaction, and add a new unlocking script- effectively delegating the right to sign to someone else under certain circumstances.

Elements of the script language that point in this direction include the existence of OP_CODESEPARATOR, and the original execution model of running scriptSig + scriptPubKey in one go, rather than separately as is done now.