How can I get error message?

try:
  ...# some operations
except:
    sock.sendto(err_msg,0,addr) # send client err_msg from exception

Do not use unconditional except, you stop for example key interrupt.

Check the error code you get without except, say it is TheErrorType then do

try:
    #your stuff with potential for interrupt as little lines as possible
except TheErrorType as e:
    print 'Got error %s in the input, ignoring' % e
else:
    # normal stuff if interrupt did not happen
finally:
    # clean up code common for both cases

Take a look at the trackback docs. You possibly want traceback.format_exc() or extract_tb(traceback[, limit])

Thank you tonyjv and woooee.
I'm using tonyjv's syntax with sys.exc_info() function:

exc_type, exc_value, exc_trbk = sys.exc_info()
    print(exc_type,exc_value)
    ret_str = str(exc_value)
    sock.sendto(ret_str.encode('ascii'),0,addr)