You can use this pattern, too, with regex:

import re
a = '''hello? there A-Z-R_T(,**), world, welcome to python.
this **should? the next line#followed- by@ an#other %million^ %%like $this.'''

for k in a.split("\n"):
    print(re.sub(r"[^a-zA-Z0-9]+", ' ', k))
    # Or:
    # final = " ".join(re.findall(r"[a-zA-Z0-9]+", k))
    # print(final)

Output:

hello there A Z R T world welcome to python 
this should the next line followed by an other million like this 

Edit:

Otherwise, you can store the final lines into a list:

final = [re.sub(r"[^a-zA-Z0-9]+", ' ', k) for k in a.split("\n")]
print(final)

Output:

['hello there A Z R T world welcome to python ', 'this should the next line followed by an other million like this ']

This can be done without regex:

>>> string = "Special $#! characters   spaces 888323"
>>> ''.join(e for e in string if e.isalnum())
'Specialcharactersspaces888323'

You can use str.isalnum:

S.isalnum() -> bool

Return True if all characters in S are alphanumeric
and there is at least one character in S, False otherwise.

If you insist on using regex, other solutions will do fine. However note that if it can be done without using a regular expression, that's the best way to go about it.

You are actually trying to "slugify" your string.

If you don't mind using a 3rd party (and a Python 2 specific) library you can use slugify (pip install slugify):

import slugify

string = "Web's GReat thing-ok"
print slugify.slugify(string)
>> 'webs_great_thing-ok'

You can implement it yourself. All of slugify's code is

import re
import unicodedata

def slugify(string):
    return re.sub(r'[-\s]+', '-',
            unicode(
                    re.sub(r'[^\w\s-]', '',
                           unicodedata.normalize('NFKD', string)
                           .encode('ascii', 'ignore'))
                           .strip()
                           .lower())

Note that this is Python 2 specific.

Going back to your example, You can make it a one-liner. Whether it is Pythonic enough is up to you to decide (note the shortened range A-z instead of A-Za-z):

import re

my_string = "Web's GReat thing-ok"
new_string = re.sub('[^A-z0-9 -]', '', my_string).lower().replace(" ", "_")

UPDATE There seems to be more robust and Python 3 compatible "slugify" library here.

You can add an space after the caret(^), like this

In [1]: re.sub(r"[^ a-zA-Z0-9]+",'',input_string)
#                  ^ space here
Out[1]: 'abcd efgh ijk LM'

If you also want to remove trailing or leading whitespaces you can use the strip method.

In [2]: '    Hello    '.strip()
Out[2]: 'Hello'