The typical header should be
#!/usr/bin/env python
But I found below also works when executing the script like $python ./my_script.p
$python ./my_script.p
Yes, there is - python may not be in /usr/bin, but for example in /usr/local/bin (BSD).
/usr/bin
/usr/local/bin
When using virtualenv, it may even be something like ~/projects/env/bin/python
~/projects/env/bin/python