Below is a script which compares a number of implementations:
Many thanks to stephan for bringing sieve_wheel_30 to my attention. Credit goes to Robert William Hanks for primesfrom2to, primesfrom3to, rwh_primes, rwh_primes1, and rwh_primes2.
Of the plain Python methods tested, with psyco, for n=1000000, rwh_primes1 was the fastest tested.