Python in a Nutshell, the Python Cookbook and Programming Python are
all very good, IMO. Programming Python comes with a CD of all the
source code in the book (at least the 2nd edition did, as well as
Python language - this can save you some time keying in the examples.
Of course, many of the O'Reilly books (and all 3 of these are from
O'Reilly) have links to downloadable source code from them. Just
Google for the name of the book, then in the results, hit the
appropriate link to the O'Reilly site for the book, and look down the
page for the link to the examples' source.
Or (for Programming Python):
http://www.oreilly.com/catalog/python2/
http://www.oreilly.com/catalog/python3/