This is a rough sketch of some things that I've learned about the Sphinx documentation generation system. I should probably spend some time to collect what I've learned in a more coherent and durable format, but this will have to do for now:
If you describe a type in parameter documentation it will automatically link to the Python documentation for that type when using the Python Domain and if you have intersphinx connected. That's pretty cool.
Sphinx let's you define a scope for a file in some cases. If you're documenting command-line options to a program. (i.e. with the "program" with subsidiary "option" directives,) or if you're documenting Python objects and callables within the context of a module, the module and program directives have a scoping effect.
Cool but it breaks the reStructuredText idiom, which only allows you to decorate and provide semantic context for specific nested blocks within the file. As in Python code, there's no way to end a block except via white-space,  which produces some very confusing markup effects.
The "default-domain" directive is similarly... odd.
Sphinx cannot take advantage of multiple cores to render a single project, except when building multiple outputs (i.e. PDF/LaTeX, HTML with and/or directories.) if with a weird caveat that only one builder can touch the doctree directory at once. (So you either need to put each builder on its own doctree directory, or let one build complete and then build the reset in parallel.)
For small documentation sets, under a few dozen pages/kb, this isn't a huge problem, for larger documentation sets this can be quite frustrating. 
This limitation means that while it's possible to write extensions to Sphinx to do additional processing of the build, in most cases, it makes more sense to build custom content and extensions that modify or generate reStructuredText or that munge the output in some way. The include directive in reStructuredText and milking the hell out of make are good places to started.
Be careful when instantiating objects in Sphinx's conf.py file: since Sphinx stores the pickle (serialization) of conf.py and compares that stored pickle with the current file to ensure that configuration hasn't changed (changed configuration files necessitate a full rebuild of the project.) Creating objects in this file will trigger full (and often unneeded) rebuilds.
Delightfully, Sphinx produces .po file that you can use to power translated output, using the gettext sphinx builder. Specify a different doctree directory for this output to prevent some issues with overlapping builds. This is really cool.
Sphinx is great. Even though I'm always looking at different documentation systems and practices I can't find anything that's better. My hope is that the more I/we talk about these issues and the closer I/we'll get to solutions, and the better the solutions will be.
Onward and Upward!
|||In Python this isn't a real problem, but reStructuredText describes a basically XML-like document, and some structures like headings are not easy to embed in rst blocks.|
|||reality documentation sets would need to be many hundreds of thousands of words for this to actually matter in a significant way. I've seen documentation take 2-3 minutes for clean a regeneration using Sphinx on very powerful hardware (SSDs, contemporary server-grade processors, etc.), and while this shouldn't be a deal breaker for anyone, documentation that's slow to regenerate is harder to maintain and keep up to date (e.g. difficult to test the effect of changes on output, non-trivial to update the documents regularly with small fixes.)|