I tried it on two different machines, and got two different answers:

conan$ /cygdrive/c/Python25/python -c 'import os.path; print
os.path.exists("nul")'
False
conan$ /cygdrive/c/Python24/python -c 'import os.path; print
os.path.exists("nul")'
False

conan$ /cygdrive/c/Python24/python -c 'import os; print os.stat("nul")'
Traceback (most recent call last):
  File "<string>", line 1, in ?
OSError: [Errno 22] Invalid argument: 'nul'
conan$ /cygdrive/c/Python25/python -c 'import os; print os.stat("nul")'
Traceback (most recent call last):
  File "<string>", line 1, in <module>
WindowsError: [Error 87] The parameter is incorrect: 'nul'


titti$ /cygdrive/c/Python24/python -c 'import os.path; print
os.path.exists("nul")'
True
titti$ /cygdrive/c/Python25/python -c 'import os.path; print
os.path.exists("nul")'
False

titti$ /cygdrive/c/Python24/python -c 'import os; print os.stat("nul")'
(33206, 0L, 3, 1, 0, 0, 0L, -1, -1, -1)
titti$ /cygdrive/c/Python25/python -c 'import os; print
os.stat("nul")'Traceback (most recent call last):
  File "<string>", line 1, in <module>
WindowsError: [Error 87] The parameter is incorrect: 'nul'

I ran it from a cygwin prompt, but the pythons are native.

So you are correct that it doesn't work as I expected in Python 2.4
either on the "conan" host..  On "titti", there is a difference in how
os.path.exist works between 2.4 and 2.5. On "conan" there is actually
also a difference, but only in the exception raised by os.stat.

I don't know what the differences between these installation are.