When is the try-finally block used in Python?

The finally block is used to define clean-up actions. Why is the finally block needed? Why can't the clean up actions be put after the try/except/else block? This works in some cases, but if there is a return, break, or continue, or an unhandled exception inside the try, except, or else clauses, that code will never be executed. The finally block executes even in these conditions.

try:
    print 'Inside try'
    raise Exception
finally:
    print 'Inside finally'
print 'Never get here'

Results:

Inside try
Inside finally
Traceback (most recent call last):
  File "tmp.py", line 13, in 
    raise Exception
Exception

Reference: http://docs.python.org/2/tutorial/errors.html#defining-clean-up-actions