Documentation for files states that when writing to a file, unicode 
strings are converted to byte strings using the encoding specified by 
file.encoding.
http://docs.python.org/library/stdtypes.html#file.encoding

sys.stdout is a file, but it does not behave as stated above:

>>> type(sys.stdout)
<type 'file'>
>>> sys.stdout.encoding
'UTF-8'
>>> u = u"\u554a"
>>> print u
啊
>>> sys.stdout.write(u)
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
UnicodeEncodeError: 'ascii' codec can't encode character u'\u554a' in 
position 0: ordinal not in range(128)
>>> sys.stdout.write(u.encode('utf-8'))
啊