[tl;dr? see bottom]
Python on OS X has always been somewhat of an abomination in that it\'s split up and spread out all across the system. Some in /us
Python.h and other headers are included with Xcode. On my system, it's located in both /Developer/SDKs/MacOSX10.6.sdk/System/Library/Frameworks/Python.framework/Versions/2.6/include/python2.6/Python.h and /System/Library/Frameworks/Python.framework/Versions/2.6/include/python2.6/Python.h. The latter appears to be installed by the Xcode installer.