for Python 3 (no more xrange), the preferred answer

zeros = [ [0] * N for _ in range(M)]

for M x N array of zeros

Just for completeness: To declare a multidimensional list of zeros in python you have to use a list comprehension like this:

buckets = [[0 for col in range(5)] for row in range(10)]

to avoid reference sharing between the rows.

This looks more clumsy than chester1000's code, but is essential if the values are supposed to be changed later. See the Python FAQ for more details.

A pattern that often came up in Python was

bar = []
for item in some_iterable:
    bar.append(SOME EXPRESSION)

which helped motivate the introduction of list comprehensions, which convert that snippet to

bar = [SOME_EXPRESSION for item in some_iterable]

which is shorter and sometimes clearer. Usually, you get in the habit of recognizing these and often replacing loops with comprehensions.

Your code follows this pattern twice

twod_list = []                                       \                      
for i in range (0, 10):                               \
    new = []                  \ can be replaced        } this too
    for j in range (0, 10):    } with a list          /
        new.append(foo)       / comprehension        /
    twod_list.append(new)                           /