Ctrl+C is what you need. If it didn't work, hit it harder. :-) Of course, you can also just close the shell window.
Edit: You didn't mention the circumstances. As a last resort, you could write a batch file that contains taskkill /im python.exe, and put it on your desktop, Start menu, etc. and run it when you need to kill a runaway script. Of course, it will kill all Python processes, so be careful.