Locale-agnostic: use _ as the thousand separator

f'{value:_}'          # For Python ≥3.6

Note that this will NOT format in the user's current locale and will always use _ as the thousand separator, so for example:

1234567 ⟶ 1_234_567

English style: use , as the thousand separator

'{:,}'.format(value)  # For Python ≥2.7
f'{value:,}'          # For Python ≥3.6

Locale-aware

import locale
locale.setlocale(locale.LC_ALL, '')  # Use '' for auto, or force e.g. to 'en_US.UTF-8'

'{:n}'.format(value)  # For Python ≥2.7
f'{value:n}'          # For Python ≥3.6

Reference

Per Format Specification Mini-Language,

The ',' option signals the use of a comma for a thousands separator. For a locale aware separator, use the 'n' integer presentation type instead.

and:

The '_' option signals the use of an underscore for a thousands separator for floating point presentation types and for integer presentation type 'd'. For integer presentation types 'b', 'o', 'x', and 'X', underscores will be inserted every 4 digits.

Your own example is able to do what you want. Just write it properly without mixing format styles:

a = 1234567
print "The number is {:,d} but it's converted to a string".format(a)

That's a good reason to use the modern syntax. It does not care about the type of the argument. It will use str on the object and output it accordingly.

print "The number is {:,d} and John has {} sisters and {} brothers".format(1000000, 2, 3)

No one so far has mentioned the new ',' option which was added in version 2.7 to the Format Specification Mini-Language -- see PEP 378: Format Specifier for Thousands Separator in the What's New in Python 2.7 document. It's easy to use because you don't have to mess around with locale (but is limited for internationalization due to that, see the original PEP 378). It works with floats, ints, and decimals — and all the other formatting features provided for in the mini-language spec.

Sample usage:

print format(1234, ",d")    # -> 1,234
print "{:,d}".format(1234)  # -> 1,234
print(f'{1234:,d}')         # -> 1,234 (Python 3.6+)

Note: While this new feature is definitely handy, it's actually not all that much harder to use the locale module, as several others have suggested. The advantage is that then numeric output can be made to automatically follow the proper thousands (and other) separator conventions used in various countries when outputting things like numbers, dates, and times. It's also very easy to put the default settings from your computer into effect without learning a bunch of language and country codes. All you need to do is:

import locale
locale.setlocale(locale.LC_ALL, '')  # empty string for platform's default settings

After doing that you can just use the generic 'n' type code for outputting numbers (both integer and float). Where I am, commas are used as the thousand separator, so after setting the locale as shown above, this is what would happen:

print format(1234, "n")    # -> 1,234
print "{:n}".format(1234)  # -> 1,234

Much of the rest of the world uses periods instead of commas for this purpose, so setting the default locale in many locations (or explicitly specifying the code for such a region in a setlocale() call) produces the following:

print format(1234, "n")    # -> 1.234
print "{:n}".format(1234)  # -> 1.234

Output based on the 'd' or ',d' formatting type specifier is unaffected by the use (or non-use) of setlocale(). However the 'd' specifier is affected if you instead use the locale.format() or locale.format_string() functions.