memory issue for cur.execute

When issuing a select on a large table, I'm seeing high memory 
consumption before fetching any records (just during cur.execute).

This simple example on a table with 500,000 records:

*****

con = psycopg2.connect(host=host, database=database, user=user,
                       password=password)
cur = con.cursor()
cur.execute('select * from my_large_table')

*****

consumed 300M and I never fetched a single record.

Python 2.5.2
pyscopg2 2.0.8 (dec mx dt ext pq3)
Ubuntu 8.10

--Randall