I'm surprised no one mentioned the implicit style above. My preference is to use parens to wrap the string while lining the string lines up visually. Personally I think this looks cleaner and more compact than starting the beginning of the string on a tabbed new line.
Note that these parens are not part of a method call — they're only implicit string literal concatenation.
Python 2:
def fun():
print ('{0} Here is a really '
'long sentence with {1}').format(3, 5)
Python 3 (with parens for print function):
def fun():
print(('{0} Here is a really '
'long sentence with {1}').format(3, 5))
Personally I think it's cleanest to separate concatenating the long string literal from printing it:
def fun():
s = ('{0} Here is a really '
'long sentence with {1}').format(3, 5)
print(s)