Breaks on one of my boxes:

<pre>
======================================================================
FAIL: sklearn.linear_model.tests.test_omp.test_unreachable_accuracy
----------------------------------------------------------------------
Traceback (most recent call last):
  File "/usr/lib/python2.7/dist-packages/nose/case.py", line 197, in
runTest
    self.test(*self.arg)
  File
"/volatile/varoquau/dev/scikit-learn/sklearn/linear_model/tests/test_omp.py",
line 79, in test_unreachable_accuracy
    precompute=True),
  File "/volatile/varoquau/dev/scikit-learn/sklearn/utils/testing.py",
line 116, in assert_warns
    % func.__name__)
AssertionError: No warning raised when calling orthogonal_mp
</pre>

Will look at this later today.