Na referência pygtk afirma que cadaGtk.Widget tem o eventoenter-event-notify, mas com o meu código de teste, esse evento nunca é acionado para o widget Label (com outros, funcionou).

Existe algo que eu deveria fazer de forma diferente?

import pygtk
pygtk.require('2.0')
import gtk

class LabelTest:

    def delete_event(self, widget, event, data=None):
        return False

    def destroy(self, widget, data=None):
        gtk.main_quit()

    def __init__(self):
        self.window = gtk.Window(gtk.WINDOW_TOPLEVEL)

        self.window.connect("delete_event", self.delete_event)
        self.window.connect("destroy", self.destroy)
        self.window.set_border_width(10)

        self.label = gtk.Label("A label")

        # question section
        def labelMouseOver(w, data=None):
          print "mouse over"

        self.label.connect('enter-notify-event', labelMouseOver, None)
        # /question section

        self.window.add(self.label)
        self.label.show()
        self.window.show()

    def main(self):
        gtk.main()

if __name__ == "__main__":
    test = LabelTest()
    test.main()