Add quick blurb about __init__ with inherited types.

docs/advanced/classes.rst

@@ -144,6 +144,29 @@ a virtual method call.
     >>> call_go(c)
     u'meow! meow! meow! '
 
+If you are defining a custom constructor in a derived Python class, you *must*
+ensure that you explicitly call the bound C++ constructor using ``__init__``,
+*regardless* of whether it is a default constructor or not. Otherwise, the
+memory for the C++ portion of the instance will be left uninitialized, which
+could do nasty things, such as give you a corrupted ``vtable``.
+
+Here is an example:
+
+.. code-block:: python
+
+    class Dachschund(Dog):
+        def __init__(self, name):
+            Dog.__init__(self) # Without this, a segfault may occur.
+            self.name = name
+        def bark(self):
+            return "yap!"
+
+Note that a direct ``__init__`` constructor *should be called*, and ``super()``
+should not be used. For simple cases of linear inheritance, ``super()``
+may work, but once you begin mixing Python and C++ multiple inheritance,
+things will fall apart due to differences between Python's MRO and C++'s
+mechanisms.
+
 Please take a look at the :ref:`macro_notes` before using this feature.
 
 .. note::