>>> data = urlopen('http://devcave.ru/json.php').read()
>>> data.decode('utf-8')
u'{"key":"\\u0440\\u0443\\u0441\\u0441\\u043a\\u0438\\u0439 \\u044f\\u0437\\u044b\\u043a"}'
>>> data.decode('cp1251')
u'{"key":"\\u0440\\u0443\\u0441\\u0441\\u043a\\u0438\\u0439 \\u044f\\u0437\\u044b\\u043a"}'