This is easier than trapping the exception:
import os
if not os.path.exists(...):
os.makedirs(...)
Disclaimer This approach requires two system calls which is more susceptible to race conditions under certain environments/conditions. If you're writing something more sophisticated than a simple throwaway script running in a controlled environment, you're better off going with the accepted answer that requires only one system call.
UPDATE 2012-07-27
I'm tempted to delete this answer, but I think there's value in the comment thread below. As such, I'm converting it to a wiki.