Maybe I missed the question, but why not:

class MyException(Exception):
    pass

Edit: to override something (or pass extra args), do this:

class ValidationError(Exception):
    def __init__(self, message, errors):

        # Call the base class constructor with the parameters it needs
        super(ValidationError, self).__init__(message)

        # Now for your custom code...
        self.errors = errors

That way you could pass dict of error messages to the second param, and get to it later with e.errors


Python 3 Update: In Python 3+, you can use this slightly more compact use of super():

class ValidationError(Exception):
    def __init__(self, message, errors):

        # Call the base class constructor with the parameters it needs
        super().__init__(message)

        # Now for your custom code...
        self.errors = errors