Here's another way to do it using map() and lambda functions:
>>> map(lambda d: d['value'], l)
where l is the list. I see this way "sexiest", but I would do it using the list comprehension.
Update: In case that 'value' might be missing as a key use:
>>> map(lambda d: d.get('value', 'default value'), l)
Update: I'm also not a big fan of lambdas, I prefer to name things... this is how I would do it with that in mind:
>>> import operator
>>> get_value = operator.itemgetter('value')
>>> map(get_value, l)
I would even go further and create a sole function that explicitly says what I want to achieve:
>>> import operator, functools
>>> get_value = operator.itemgetter('value')
>>> get_values = functools.partial(map, get_value)
>>> get_values(l)
... [<list of values>]
With Python 3, since map returns an iterator, use list to return a list, e.g. list(map(operator.itemgetter('value'), l)).