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Some great tips for optimising Python, courtesy of Ian Bicking:

• Kata 19: an optimization anecdote demonstrates some neat techniques including use of the gc module to fine tune garbage collection.
• Python Patterns - An Optimization Anecdote mainly uses functional programming techniques and the array module.
• An Optimization Anecdote from Fredrik Lundh teaches us that the more time is spent by Python in pure C routines, the faster code will run (note that this does not necessarily imply rewriting Python code in C).
• Python Performance Tips from 1996, most of which look like they are still valid.
• Python optimization tips, which seem to be a bit more up to date.