Relax PEP 8's perceived (but incorrect) prohibition against backslashed.

pep-0008.txt

@@ -158,9 +158,21 @@ The preferred way of wrapping long lines is by using Python's implied
 line continuation inside parentheses, brackets and braces.  Long lines
 can be broken over multiple lines by wrapping expressions in
 parentheses. These should be used in preference to using a backslash
-for line continuation.  Make sure to indent the continued line
-appropriately.  The preferred place to break around a binary operator
-is *after* the operator, not before it.  Some examples::
+for line continuation.
+
+Backslashes may still be appropriate at times.  For example, long,
+multiple ``with``-statements cannot use implicit continuation, so
+backslashes are acceptable::
+
+    with open('/path/to/some/file/you/want/to/read') as file_1, \
+            open('/path/to/some/file/being/written', 'w') as file_2:
+        file_2.write(file_1.read())
+
+Another such case is with ``assert`` statements.
+
+Make sure to indent the continued line appropriately.  The preferred
+place to break around a binary operator is *after* the operator, not
+before it.  Some examples::
 
     class Rectangle(Blob):