Python lists have no built-in pre-allocation. If you really need to make a list, and need to avoid the overhead of appending (and you should verify that you do), you can do this:
l = [None] * 1000 # Make a list of 1000 None's
for i in xrange(1000):
# baz
l[i] = bar
# qux
Perhaps you could avoid the list by using a generator instead:
def my_things():
while foo:
#baz
yield bar
#qux
for thing in my_things():
# do something with thing
This way, the list isn't every stored all in memory at all, merely generated as needed.