print "well, it WASN'T defined after all!"
print "sure, it was defined."
@Aaron, "should" is a 4-letter word -- e.g. no driver "should" ever exceed the speed limit, but that doesn't mean you don't take all proper and needed precautions against those who nevertheless do. Maintaining fragile, undertested legacy code with somewhat-broken design that you inherited from somebody else is a fact of life, and those who can only think of big-bang rewriting from scratch rather than cautiously and incrementally need to re-read Joel's 9-years-old essay joelonsoftware.com/articles/fog0000000069.html .
@Aaron: There are many cases when you don't know whether variable is defined. You can refactor code to avoid this in many, but not all cases. Alex's solution is correct and it the best when refactoing is not possible for some reasons. There is not much information in the question, so I believe only person asked it can select the best way to handle his case.
@S.Lott People use it to maintain backwards compatibility. Search for NameError in Python 3.1 source code. There are many instances where "try: var_name except NameError: something_else" is used. Here are a couple of place where it is used: CSV (svn.python.org/projects/python/trunk/Lib/csv.py) library and in the ElementTree library (svn.python.org/projects/python/trunk/Lib/xml/etree/).
@einpoklum, Python uses exception StopIteration within just about every for statement -- that's how an iterator lets it known that it's all done. And of course, it is far from "an exceptional case" for iteration to be done -- indeed, one expects most iterations to terminate. Thus, obviously, your opinions on how exceptions "should" be used are not correctly applicable to Python (other languages have different pragmatics and the question cannot be properly treated as "language agnostic" as in the Q you point to).
This debate is much more interesting that the answer itself, which by the way is 100% correct and let you handle poor legacy code elegantly.