I want one long list, say [1,2,3,4,5,15,16,17,18,19] as an example. To initialize this, I try typing:
new_list = [range(1,6),range(15,20)]
You can use itertools.chain to flatten the output of your range() calls.
import itertools
new_list = list(itertools.chain(xrange(1,6), xrange(15,20)))
Using xrange (or simply range() for python3) to get an iterable and chaining them together means only one list object gets created (no intermediate lists required).
If you need to insert intermediate values, just include a list/tuple in the chain:
new_list = list(itertools.chain((-3,-1),
xrange(1,6),
tuple(7), # make single element iterable
xrange(15,20)))