You should definitely accept unutbu's answer, and it is what I generally use for this kind of situation within numpy. But in the interests of having multiple ways of doing things, having a method that works outside of numpy, or in case the intermediate array is offensively huge, I'll add this alternative:

In [3]: [a[S] for S in s if a[S]>0]
Out[3]: [2, 3, 4]

Again, unutbu's method is significantly faster. But I like this method because it can generalize still further. If you have an expensive funky function (e.g., not indexing), and want to test the result of that function, you might want to do this:

In [5]: [f for S in s for f in [FunkyFunction(a[S])] if f>0]
Out[5]: [2, 3, 4]

The weird part about this is that you make a list inside the other list, but this internal list only contains one item. Basically what you're doing is saving the value to the variable f, and then using that value twice: once to test the value (f>0), and once to use that value in the list if the test passes.