Use the array module. With it you can store collections of the same type efficiently.
>>> import array
>>> import itertools
>>> a = array_of_signed_ints = array.array("i", itertools.repeat(0, 10))
For more information - e.g. different types, look at the documentation of the array module. For up to 1 million entries this should feel pretty snappy. For 10 million entries my local machine thinks for 1.5 seconds.
The second parameter to array.array is a generator, which constructs the defined sequence as it is read. This way, the array module can consume the zeros one-by-one, but the generator only uses constant memory. This generator does not get bigger (memory-wise) if the sequence gets longer. The array will grow of course, but that should be obvious.
You use it just like a list:
>>> a.append(1)
>>> a.extend([1, 2, 3])
>>> a[-4:]
array('i', [1, 1, 2, 3])
>>> len(a)
14
...or simply convert it to a list:
>>> l = list(a)
>>> len(l)
14
Surprisingly
>>> a = [0] * 10000000
is faster at construction than the array method. Go figure! :)