From a quick look at the pickled model file, they are:
FACILITY, GPE, GSP, LOCATION, ORGANIZATION, PERSON
(There's no support for discovering this using NLTK functionality, sorry.)
By the way, note that the new version of NLTK includes an interface to
the Stanford Named Entity Recognizer.
http://nltk.github.com/api/nltk.tag.html#nltk.tag.stanford.NERTagger
-Steven Bird