While Michał's post explains what smartindent does, you can do a lot better than just turning it off. You could configure it more to your liking, or better yet, let Vim pick better indentation for you. With the following in your vimrc instead of other indent settings:
filetype indent on
Vim will automatically use the proper indent plugin for python. This is way better than just not de-indenting a # line - pretty much everything should be properly indented.
