An update to show how to do it in the recent versions of OpenCV:
import cv2
cv2.namedWindow("preview")
vc = cv2.VideoCapture(0)
if vc.isOpened(): # try to get the first frame
rval, frame = vc.read()
else:
rval = False
while rval:
cv2.imshow("preview", frame)
rval, frame = vc.read()
key = cv2.waitKey(20)
if key == 27: # exit on ESC
break
cv2.destroyWindow("preview")
vc.release()
It works in OpenCV-2.4.2 for me.