There is very little difference between the two types. In fact, even the core Python developers agreed that there is no real difference and removed IOError in Python 3 (it is now an alias for OSError). See PEP 3151 - Reworking the OS and IO exception hierarchy:

While some of these distinctions can be explained by implementation considerations, they are often not very logical at a higher level. The line separating OSError and IOError, for example, is often blurry. Consider the following:

>>> os.remove("fff")
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
OSError: [Errno 2] No such file or directory: 'fff'
>>> open("fff")
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
IOError: [Errno 2] No such file or directory: 'fff'

Yes, that's two different exception types with the exact same error message.

For your own code, stick to throwing OSError. For existing functions, check the documentation (it should detail what you need to catch), but you can safely catch both:

try:
    # ...
except (IOError, OSError):
    # handle error

Quoting the PEP again:

In fact, it is hard to think of any situation where OSError should be caught but not IOError, or the reverse.

For clarity, and because some error numbers can differ between platforms (see e.g. this comparison), I would recommend using the errno module in order to catch the specific type of OSError in a cross-platform way:

import errno

try:
    # Code that might fail...
except OSError as e:
    if e.errno == errno.ENOMEM:
        # Handle ENOMEM case...
    else:
        raise

You can use the dictionary errno.errorcode to find the name of a specific error code in the errno module:

>>> errno.errorcode[12]
'ENOMEM'

Note that error number 12 specifically seems to be the same across most platforms, but many others differ.

import os

try:
    open('foo')
except IOError as err:
    print(err)
    print(err.args)
    print(err.filename)    

produces

[Errno 2] No such file or directory: 'foo'
(2, 'No such file or directory')
foo

So, to generate an OSError with a similar message use

raise OSError(2, 'No such file or directory', 'foo')