Could it be that the version of scikit-learn from which you got the example is not the one which you have installed?

Not replicated

@amueller,
correct, probably happens quite often, its not readily visible for new users that running examples from older versions of scikit-learn will lead to such errors. Especially when a google search turns up old example versions first.

The code for the older demos looks completely legit, however throws errors during execution. A better way would be to comment on top of each of the examples for which scikit-learn version number this is designed. Or insert in the code comment, only certified for version 0.XX.0 of scikit-learn.

Example:
0.18.1 (is now stable but has no version number in URL)
http://scikit-learn.org/stable/auto_examples/model_selection/grid_search_digits.html

0.15 (older version) turns up during google search
http://scikit-learn.org/0.15/auto_examples/grid_search_digits.html

Error when running 0.15 example in 0.18

precision_recall_fscore_support
    "choose another average setting." % y_type)

ValueError: Target is multiclass but average='binary'. Please choose another average setting.