When you're going to work with such time series in Python, pandas is indispensable. And here's the good news: it comes with a historical data downloader for Yahoo: pandas.io.data.DataReader.
from pandas.io.data import DataReader
from datetime import datetime
ibm = DataReader('IBM', 'yahoo', datetime(2000, 1, 1), datetime(2012, 1, 1))
print(ibm['Adj Close'])
Here's an example from the pandas documentation.
Update for pandas >= 0.19:
The pandas.io.data module has been removed from pandas>=0.19 onwards. Instead, you should use the separate pandas-datareader package. Install with:
pip install pandas-datareader
And then you can do this in Python:
import pandas_datareader as pdr
from datetime import datetime
ibm = pdr.get_data_yahoo(symbols='IBM', start=datetime(2000, 1, 1), end=datetime(2012, 1, 1))
print(ibm['Adj Close'])