How to get shortest connection between two cities

Yesterday, on #postgresql on irc some guy asked:

22:28 < rafasc> i am trying to use plpgsql to find the shortest path between two cities, each pair of cities has one or more edges, each edge has a different wheight.
22:28 < rafasc> Is there a easy way to compute the shortest path between two cities?

Well, I was not really in a mood to solve it, so I just told him to try with recursive queries, and went on my way.

But I thought about it. And decided to see if I can write the query.

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