I often end up doing something like the following, especially while debugging/printlining:
try: munge(value) except Exception, x: x.args += (value,) raise x
When used in a framework that logs exceptions, it's handy. Unfortunately, it loses any traceback from the munge() call on down. :(
If you use just raise (instead of raise x) it should still work, but you won't lose the traceback (at least that's what my brief testing indicates).