Also, cursor.lastrowid (a dbapi/PEP249 extension supported by MySQLdb):
>>> import MySQLdb
>>> connection = MySQLdb.connect(user='root')
>>> cursor = connection.cursor()
>>> cursor.execute('INSERT INTO sometable VALUES (...)')
1L
>>> connection.insert_id()
3L
>>> cursor.lastrowid
3L
>>> cursor.execute('SELECT last_insert_id()')
1L
>>> cursor.fetchone()
(3L,)
>>> cursor.execute('select @@identity')
1L
>>> cursor.fetchone()
(3L,)
cursor.lastrowid is somewhat cheaper than connection.insert_id() and much cheaper than another round trip to MySQL.