Very similar to @Piti's answer, but using 1 call instead of 2 to generate the points:
import numpy as np
import matplotlib.pyplot as plt
pts = 1000000
mean = [0.0, 0.0]
cov = [[1.0,0.0],[0.0,1.0]]
x,y = np.random.multivariate_normal(mean, cov, pts).T
plt.hist2d(x, y, bins=50, cmap=plt.cm.jet)
plt.show()
Output: