Check y

By using the get_debug_values() function and with flag "theano.config.compute_test_value" turned on, we can now check the value of Y before computing kl or elemwise_kl. Note that this feature should only be expected to work in test time, not for passed values in a real function call.

Should we check every mode of "theano.config.compute_test_value" in the unit test? Or, since it is only a unit test for kl (or elemwise_kl), just testing it on one of the mode will be OK?
You can get rid of most of these comments. It's pretty clear which things should and shouldn't raise errors!