You are so close!
import pyodbc
cnxn = pyodbc.connect('DRIVER={SQL Server};SERVER=SQLSRV01;DATABASE=DATABASE;UID=USER;PWD=PASSWORD')
cursor = cnxn.cursor()
cursor.execute("SELECT WORK_ORDER.TYPE,WORK_ORDER.STATUS, WORK_ORDER.BASE_ID, WORK_ORDER.LOT_ID FROM WORK_ORDER")
for row in cursor.fetchall():
print row
(the "columns()" function collects meta-data about the columns in the named table, as opposed to the actual data).