Match behavior of the pickle.py module more closely.
diff --git a/Modules/cPickle.c b/Modules/cPickle.c
index adf7e44..edb4177 100644
--- a/Modules/cPickle.c
+++ b/Modules/cPickle.c
@@ -3843,6 +3843,11 @@
                     break;
                 continue;
 
+            case '\0':
+                /* end of file */
+                PyErr_SetNone(PyExc_EOFError);
+                break;
+                
             default:
                 cPickle_ErrFormat(UnpicklingError, "invalid load key, '%s'.",
                     "c", s[0]);