The h5py package is a Pythonic interface to the HDF5 binary data format.
It lets you store huge amounts of numerical data, and easily manipulate that data from NumPy. For example, you can slice into multi-terabyte datasets stored on disk, as if they were real NumPy arrays. Thousands of datasets can be stored in a single file, categorized and tagged however you want.
H5py uses straightforward NumPy and Python metaphors, like dictionary and NumPy array syntax. You can iterate over datasets in a file, or check out the .shape or .dtype attributes of datasets; you don't need to know anything special about HDF5 to get started.
Best of all, the files you create are in a standard binary format you can exchange with other people, including those who use programs like IDL and MATLAB.