A solution improving on the great one from @sparrow.
Let df, be your dataset, and mylist the list with the values you want to add to the dataframe.
Let's suppose you want to call your new column simply, new_column
First make the list into a Series:
column_values = pd.Series(mylist)
Then use the insert function to add the column. This function has the advantage to let you choose in which position you want to place the column. In the following example we will position the new column in the first position from left (by setting loc=0)
df.insert(loc=0, column='new_column', value=column_values)