This is what I've done for a project. I have a few data structures that are bascially dictionaries with some methods that operate on the data. When I save them to disk, I write them out to .py files as code that when imported as a module will load the same data into such a data structure.
Is this reasonable? Are there any big disadvantages? The advantage I see is that when I want to operate with the saved data, I can quickly import the modules I need. Also, the modules can be used seperate from the rest of the application because you don't need a separate parser or loader functionality.
It's reasonable, and I do it all the time. Obviously it's not a format you use to exchange data, so it's not a good format for anything like a save file. 
But for example, when I do migrations of websites to Plone, I often get data about the site (such as a list of which pages should be migrated, or a list of how old urls should be mapped to new ones, aor lists of tags). These you typically get in Word och Excel format. Also the data often needs massaging a bit, and I end up with what for all intents and purposes are a dictionaries mapping one URL to some other information.
Sure, I could save that as CVS, and parse it into a dictionary. But instead I typically save it as a Python file with a dictionary. Saves code.
So, yes, it's reasonable, no it's not a format you should use for any sort of save file. It however often used for data that straddles the border to configuration, like above.
Is it reasonable to save data as python modules?