As with any language, beware of any functions which allow data to be executed as parts of a program, to make sure an untrusted user can't affect their input. This includes exec(), eval(), and execfile() (and frankly, you should check carefully any call to compile()). The input() statement is also surprisingly dangerous. [Watters 1996, 150].
Python programs with privileges that can be invoked by unprivileged users (e.g., setuid/setgid programs) must not import the ``user'' module. The user module causes the pythonrc.py file to be read and executed. Since this file would be under the control of an untrusted user, importing the user module allows an attacker to force the trusted program to run arbitrary code.
Python does very little compile-time checking -- it has essentially no compile-time type information, and it doesn't even check that the number of parameters passed are legal for a given function or method. This is unfortunate, resulting in a lot of latent bugs (both John Viega and I have experienced this problem). Hopefully someday Python will implement optional static typing and type-checking, an idea that's been discussed for some time. A partial solution for now is PyChecker, a lint-like program that checks for common bugs in Python source code. You can get PyChecker from http://pychecker.sourceforge.net
Python includes support for ``Restricted Execution'' through its RExec class. This is primarily intended for executing applets and mobile code, but it can also be used to limit privilege in a program even when the code has not been provided externally. By default, a restricted execution environment permits reading (but not writing) of files, and does not include operations for network access or GUI interaction. These defaults can be changed, but beware of creating loopholes in the restricted environment. In particular, allowing a user to unrestrictedly add attributes to a class permits all sorts of ways to subvert the environment because Python's implementation calls many ``hidden'' methods. Note that, by default, most Python objects are passed by reference; if you insert a reference to a mutable value into a restricted program's environment, the restricted program can change the object in a way that's visible outside the restricted environment! Thus, if you want to give access to a mutable value, in many cases you should copy the mutable value or use the Bastion module (which supports restricted access to another object). For more information, see Kuchling . I'm uncertain of the amount of auditing that the restricted execution capability has undergone, so programmer beware.