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.

Update a few years later: Python 3.6 now supports PEP515, and so you can use _ for float and integer literal readability improvement.

CopyPython 3.6.1 (v3.6.1:69c0db5, Mar 21 2017, 18:41:36) [MSC v.1900 64 bit (AMD64)] on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> 1_1000
11000
>>>

For historical reference, you can look at the lexical analysis for strict definitions python2.7, python3.5 ...

For python3.6.0a2 and earlier, you should get an error message similar to:

CopyPython 3.6.0a2 (v3.6.0a2:378893423552, Jun 13 2016, 14:44:21) 
[GCC 4.2.1 (Apple Inc. build 5666) (dot 3)] on darwin
Type "help", "copyright", "credits" or "license" for more information.
>>> 1_000
  File "<stdin>", line 1
    1_000
        ^
SyntaxError: invalid syntax
>>> amount = 10_000_000.0
  File "<stdin>", line 1
    amount = 10_000_000.0
                      ^
SyntaxError: invalid syntax