You can also use joblib.dump and joblib.load which is much more efficient at handling numerical arrays than the default python pickler.
Joblib is included in scikit-learn:
>>> import joblib
>>> from sklearn.datasets import load_digits
>>> from sklearn.linear_model import SGDClassifier
>>> digits = load_digits()
>>> clf = SGDClassifier().fit(digits.data, digits.target)
>>> clf.score(digits.data, digits.target) # evaluate training error
0.9526989426822482
>>> filename = '/tmp/digits_classifier.joblib.pkl'
>>> _ = joblib.dump(clf, filename, compress=9)
>>> clf2 = joblib.load(filename)
>>> clf2
SGDClassifier(alpha=0.0001, class_weight=None, epsilon=0.1, eta0=0.0,
fit_intercept=True, learning_rate='optimal', loss='hinge', n_iter=5,
n_jobs=1, penalty='l2', power_t=0.5, rho=0.85, seed=0,
shuffle=False, verbose=0, warm_start=False)
>>> clf2.score(digits.data, digits.target)
0.9526989426822482
Edit: in Python 3.8+ it's now possible to use pickle for efficient pickling of object with large numerical arrays as attributes if you use pickle protocol 5 (which is not the default).