The redis SET command stores a string, not arbitrary data. You could try using the redis HSET command to store the dict as a redis hash with something like
for k,v in my_dict.iteritems():
r.hset('my_dict', k, v)
but the redis datatypes and python datatypes don't quite line up. Python dicts can be arbitrarily nested, but a redis hash is going to require that your value is a string. Another approach you can take is to convert your python data to string and store that in redis, something like
r.set('this_dict', str(my_dict))
and then when you get the string out you will need to parse it to recreate the python object.