But... Do we also add try for:, try if:, try while:, etc.? Not
terrible, but potentially terrible.
No, because they're rarely useful. Modifying my script a little, less than 1% of my "if" and "for" statements are immediately preceded by "try", compared to 68% of my "with" statements.
"with" blocks very frequently define the scope of an object that might generate a particular type of exception (e.g., file object may throw IOErrors, SQL transactions might through SQL exceptions, etc.).