Okay, I am a complete newbie to Python - and stackoverflow. I am coming from a ksh and Perl background.
The following in an interactive session with Python 2.7:
Note that you don't usually need a list of values. You can directly loop the output like below
for value in VALIDVALUES:
  do_some_thing(value)
or
for value in filter(...):
  do_some_thing(value)
Sometimes you may need unique values or non mutable values. Use set or tuple or frozenset instead of list as shown in the other answer.