For starters, Python Interpreter console isn't a bad place for trying hands on the language. But if you plan on building larger programs with it you will need a good development environment, There are plenty of integrated development environments for Python today. Most of them are freely available open source projects, some have specialized support for GUI building while some are general purpose.
Since I'm Eclipse platform zealot, the first one I used was PyDev, PyDev is excellent python tooling built on Eclipse platform. It builds on excellent Eclipse UI and non commercial version offers basic refactoring, integrated debugging, Jython integration, Unit testing and several regular features which most Eclipse based IDEs inherit.
When it comes to dynamic languages tooling, DLTK is one potential place to look for in Eclipse Ecosystem. From time to time I'm lurking around DLTK newsgroups as well as keeping an eye on things moving in codebase for Python IDE. As of today, Python support in DLTK isn't too bad but it's still not as good as other IDEs out there, although it's coming up slowly. Eclipse DLTK is one fantastic tooling idea, it is so cool to build IDE for dynamic languages that you might want to try your hands building one, have a look at the guide here.
Out of Eclipse ecosystem, Eric is an IDE which I got chance to try hands on so far. Although It doesn't look as refreshing as PyDev or Eclipse in general, but it's pretty decent IDE nevertheless. It has lot of features, so many of them that you will confuse yourself on where to start, Eric UI has to be the last thing to impress anyone. It primarily features syntax highlighting editor, refactoring tool, debugger, package diagram viewer, regex builder, integrated version control and Python shell among others. While I'm not sure if Netbeans has any rock solid plan to support Python as Eclipse DLTK but I came across JPyDbg which is cross-IDE (and one of it's kind) for Python development. JPyDbg is kind of inspiring idea and I'm wondering if cross-ide-platform plugins would be a good idea? but that deserves separate post.
I haven't mentioned JyDT etc. because they seem to be dying or not actively compatible with later Eclipse versions. I would keep posting on python tooling as I go along working more on it.
PS: DLTK, I'm watching you.