I am still helpless here. Any idea how to debug the problem? I would be
happy to provide any kind of help, but I just cannot do it myself.

Further findings:
1) I don't think that matplotlib changes Python's '_', since the tmp file
that contains the content of '_' is correct.
2) Somehow, emacs/orgmode fails to extract the filename.
3) It doesn't work also when using emacs 24.5 and orgmode 8.2.10.


Following is an org file that tries to summarize the issue:

#+TITLE: Integrate matplotlib figures in an org mode buffer
* Goal
The ultimate goal is to use org-babel as a replacement of IPython. The
first motivation is to enable an easier version controling of the
document. The first challenge I faced is integration of plots returned
by ~matplotlib~ in the org buffer.
* Capturing filename

I would like to use (babel) orgmode as an interactive python
notebook. Therefore, in order to allow the various code blocks to
"know" each other, it is important to use the ~:session~
option. However, once ~:session~ is used, together with ~matplotlib~
the desired behavior is no longer in place.

* Clean testing, no Matplotlib
For the sake of testing, the following merely suppose to return the filename

#+BEGIN_SRC python :session no_matplotlib :results file :exports both
x = 'hello '
y = 'world'
z = x + y
'foo.bar'
#+END_SRC

#+RESULTS:
[[file:foo.bar]]

*Passed* Indeed, the ~RESULTS~ block contains a link to the filename
indicated by the last string.

* Importing Matplotlib

The following minimal example should generate a simple figure,
~myfig.png~, and orgmode should capture it and interpret it as a
filename to be used by the following ~RESULTS~ block.

#+BEGIN_SRC python :session with_matplotlib :results file :exports both
import matplotlib
matplotlib.use('Agg')
import matplotlib.pyplot as plt
fig=plt.figure(figsize=(3,2))
plt.plot([1,3,2])
plt.savefig('myfig.png')
'myfig.png'
#+END_SRC

#+RESULTS:
[[file:]]

*Failed!* This time, it doesn't work anymore. The file ~myfig.png~ is
 properly generated, but the last string is not captured by
 ~matplotlib~. Following is the content of the corresponding
 interactive python session:

#+BEGIN_SRC
Process with_matplotlib finished
Python 3.4.3 (default, Mar 10 2015, 14:53:35)
[GCC 4.2.1 Compatible Apple LLVM 6.0 (clang-600.0.56)] on darwin
Type "help", "copyright", "credits" or "license" for more information.
>>> >>> >>> ,
'''/var/folders/kz/1c2cxn1x60n_t5p2j1p02b180000gn/T/py32771xVI''', 'exec'));
import matplotlib
>>> import matplotlib
matplotlib.use('Agg')
matplotlib.use('Agg')
import matplotlib.pyplot as plt
import matplotlib.pyplot as plt
fig=plt.figure(figsize=(3,2))
fig=plt.figure(figsize=(3,2))
plt.plot([1,3,2])
plt.plot([1,3,2])
plt.savefig('myfig.png')
plt.savefig('myfig.png')
'myfig.png'
'myfig.png'


open('/var/folders/kz/1c2cxn1x60n_t5p2j1p02b180000gn/T/babel-32771x4j/python-32771-fO',
'w').write(str(_))
open('/var/folders/kz/1c2cxn1x60n_t5p2j1p02b180000gn/T/babel-32771x4j/python-32771-fO',
'w').write(str(_))




'org_babel_python_eoe'
'org_babel_python_eoe'
>>> [<matplotlib.lines.Line2D object at 0x108e01828>]
>>> 'myfig.png'
>>> >>> 9
>>> >>> >>> 'org_babel_python_eoe'
>>>
#+END_SRC

* Some background

** Python Version
#+BEGIN_SRC python :session background :results raw
import sys
sys.version
#+END_SRC

#+RESULTS:
3.4.3 (default, Mar 10 2015, 14:53:35)
[GCC 4.2.1 Compatible Apple LLVM 6.0 (clang-600.0.56)]

** Matplotlib version
#+BEGIN_SRC python :session background :results raw
import matplotlib
matplotlib.__version__
#+END_SRC

#+RESULTS:
1.4.3

** System
I am running Emacs version ~GNU Emacs 24.5.1 (x86_64-apple-darwin14.1.0, NS
apple-appkit-1344.72) of 2015-04-19 on tenten-slave.macports.org~

The orgmode version is: ~Org-mode version 8.2.10
(8.2.10-40-gc763fa-elpaplus @
/Users/drorata/.emacs.d/elpa/org-plus-contrib-20150518/)~

** Stackoverflow reference
I also posted a question in the SE network:
[[
http://emacs.stackexchange.com/questions/11075/org-mode-python-session-does-not-return-a-file-name
]]

* Question
So, my question is how to tackle/debug this issue? Can someone give me
a hand here? That would be really great! Thanks!