Reading through the datetime module documentation, various places that refer to "datetime.time" objects are in fact links to the "time" module. They should refer to the appropriate section on the same page.
The broken links seem to be only in the "time objects" section, and only in the body of attribute/method directives. The attached patch fixes the issue by using :class:`~datetime.time` explicitly where the links are broken. Georg, is this a bug in Sphinx?
This should be fixed now, thanks for the report. FTR with Sphinx 1.0 all the links to :class:`time` and also :class:`datetime` needed to be fixed because they were pointing to the modules, with 0.6 only the :class:`time` in the body of attribute/method directives were broken.