Hmm, well one thing I can tell you is that the timeit function actually executes its code using the module's global variables. So in your example, you could write
import timeit
timeit.a = 1
timeit.b = 2
timeit.Timer('a + b').timeit()
and it would work. But that doesn't address your more general problem of defining a module dynamically.
Regarding the module definition problem, it's definitely possible and I think you've stumbled on to pretty much the best way to do it. For reference, the gist of what goes on when Python imports a module is basically the following:
module = imp.new_module(name)
execfile(file, module.__dict__)
That's kind of the same thing you do, except that you load the contents of the module from an existing dictionary instead of a file. (I don't know of any difference between types.ModuleType and imp.new_module other than the docstring, so you can probably use them interchangeably) What you're doing is somewhat akin to writing your own importer, and when you do that, you can certainly expect to mess with sys.modules.
As an aside, even if your import * thing was legal within a function, you might still have problems because oddly enough, the statement you pass to the Timer doesn't seem to recognize its own local variables. I invoked a bit of Python voodoo by the name of extract_context() (it's a function I wrote) to set a and b at the local scope and ran
print timeit.Timer('print locals(); a + b', 'sys.modules["__main__"].extract_context()').timeit()
Sure enough, the printout of locals() included a and b:
{'a': 1, 'b': 2, '_timer': <built-in function time>, '_it': repeat(None, 999999), '_t0': 1277378305.3572791, '_i': None}
but it still complained NameError: global name 'a' is not defined. Weird.
