Apparently xrange is faster but I have no idea why it\'s faster (and no proof besides the anecdotal so far that it is faster) or what besides that is different about
Remember, use the timeit module to test which of small snippets of code is faster!
$ python -m timeit 'for i in range(1000000):' ' pass'
10 loops, best of 3: 90.5 msec per loop
$ python -m timeit 'for i in xrange(1000000):' ' pass'
10 loops, best of 3: 51.1 msec per loop
Personally, I always use range(), unless I were dealing with really huge lists -- as you can see, time-wise, for a list of a million entries, the extra overhead is only 0.04 seconds. And as Corey points out, in Python 3.0 xrange() will go away and range() will give you nice iterator behavior anyway.