<s>[INST] Fastest way to list all primes below N This is the best algorithm I could come up.
def get_primes(n):
    numbers = set(range(n, 1, -1))
    primes = []
    while numbers:
        p = numbers.pop()
        primes.append(p)
        numbers.difference_update(set(range(p*2, n+1, p)))
    return primes

>>> timeit.Timer(stmt='get_primes.get_primes(1000000)', setup='import   get_primes').timeit(1)
1.1499958793645562

Can it be made even faster?
This code has a flaw: Since numbers is an unordered set, there is no guarantee that numbers.pop() will remove the lowest number from the set. Nevertheless, it works (at least for me) for some input numbers:
>>> sum(get_primes(2000000))
142913828922L
#That's the correct sum of all numbers below 2 million
>>> 529 in get_primes(1000)
False
>>> 529 in get_primes(530)
True

 [/INST] Warning: timeit results may vary due to differences in hardware or
version of Python.  
Below is a script which compares a number of implementations: 

ambi_sieve_plain,
rwh_primes, 
rwh_primes1, 
rwh_primes2, 
sieveOfAtkin, 
sieveOfEratosthenes, 
sundaram3,
sieve_wheel_30,
ambi_sieve (requires numpy)
primesfrom3to (requires numpy)
primesfrom2to (requires numpy)

Many thanks to stephan for bringing sieve_wheel_30 to my attention.
Credit goes to Robert William Hanks for primesfrom2to, primesfrom3to, rwh_primes, rwh_primes1, and rwh_primes2.
Of the plain Python methods tested, with psyco, for n=1000000,
rwh_primes1 was the fastest tested.
+---------------------+-------+
| Method              | ms    |
+---------------------+-------+
| rwh_primes1         | 43.0  |
| sieveOfAtkin        | 46.4  |
| rwh_primes          | 57.4  |
| sieve_wheel_30      | 63.0  |
| rwh_primes2         | 67.8  |    
| sieveOfEratosthenes | 147.0 |
| ambi_sieve_plain    | 152.0 |
| sundaram3           | 194.0 |
+---------------------+-------+

Of the plain Python methods tested, without psyco, for n=1000000,
rwh_primes2 was the fastest.
+---------------------+-------+
| Method              | ms    |
+---------------------+-------+
| rwh_primes2         | 68.1  |
| rwh_primes1         | 93.7  |
| rwh_primes          | 94.6  |
| sieve_wheel_30      | 97.4  |
| sieveOfEratosthenes | 178.0 |
| ambi_sieve_plain    | 286.0 |
| sieveOfAtkin        | 314.0 |
| sundaram3           | 416.0 |
+---------------------+-------+

Of all the methods tested, allowing numpy, for n=1000000,
primesfrom2to was the fastest tested.
+---------------------+-------+
| Method              | ms    |
+---------------------+-------+
| primesfrom2to       | 15.9  |
| primesfrom3to       | 18.4  |
| ambi_sieve          | 29.3  |
+---------------------+-------+

Timings were measured using the command:
python -mtimeit -s"import primes" "primes.{method}(1000000)"

with {method} replaced by each of the method names.
primes.py:
#!/usr/bin/env python
import psyco; psyco.full()
from math import sqrt, ceil
import numpy as np

def rwh_primes(n):
    # http://stackoverflow.com/questions/2068372/fastest-way-to-list-all-primes-below-n-in-python/3035188#3035188
    """ Returns  a list of primes < n """
    sieve = [True] * n
    for i in xrange(3,int(n**0.5)+1,2):
        if sieve[i]:
            sieve[i*i::2*i]=[False]*((n-i*i-1)/(2*i)+1)
    return [2] + [i for i in xrange(3,n,2) if sieve[i]]

def rwh_primes1(n):
    # http://stackoverflow.com/questions/2068372/fastest-way-to-list-all-primes-below-n-in-python/3035188#3035188
    """ Returns  a list of primes < n """
    sieve = [True] * (n/2)
    for i in xrange(3,int(n**0.5)+1,2):
        if sieve[i/2]:
            sieve[i*i/2::i] = [False] * ((n-i*i-1)/(2*i)+1)
    return [2] + [2*i+1 for i in xrange(1,n/2) if sieve[i]]

def rwh_primes2(n):
    # http://stackoverflow.com/questions/2068372/fastest-way-to-list-all-primes-below-n-in-python/3035188#3035188
    """ Input n>=6, Returns a list of primes, 2 <= p < n """
    correction = (n%6>1)
    n = {0:n,1:n-1,2:n+4,3:n+3,4:n+2,5:n+1}[n%6]
    sieve = [True] * (n/3)
    sieve[0] = False
    for i in xrange(int(n**0.5)/3+1):
      if sieve[i]:
        k=3*i+1|1
        sieve[      ((k*k)/3)      ::2*k]=[False]*((n/6-(k*k)/6-1)/k+1)
        sieve[(k*k+4*k-2*k*(i&1))/3::2*k]=[False]*((n/6-(k*k+4*k-2*k*(i&1))/6-1)/k+1)
    return [2,3] + [3*i+1|1 for i in xrange(1,n/3-correction) if sieve[i]]

def sieve_wheel_30(N):
    # http://zerovolt.com/?p=88
    ''' Returns a list of primes <= N using wheel criterion 2*3*5 = 30

Copyright 2009 by zerovolt.com
This code is free for non-commercial purposes, in which case you can just leave this comment as a credit for my work.
If you need this code for commercial purposes, please contact me by sending an email to: info [at] zerovolt [dot] com.'''
    __smallp = ( 2, 3, 5, 7, 11, 13, 17, 19, 23, 29, 31, 37, 41, 43, 47, 53, 59,
    61, 67, 71, 73, 79, 83, 89, 97, 101, 103, 107, 109, 113, 127, 131, 137, 139,
    149, 151, 157, 163, 167, 173, 179, 181, 191, 193, 197, 199, 211, 223, 227,
    229, 233, 239, 241, 251, 257, 263, 269, 271, 277, 281, 283, 293, 307, 311,
    313, 317, 331, 337, 347, 349, 353, 359, 367, 373, 379, 383, 389, 397, 401,
    409, 419, 421, 431, 433, 439, 443, 449, 457, 461, 463, 467, 479, 487, 491,
    499, 503, 509, 521, 523, 541, 547, 557, 563, 569, 571, 577, 587, 593, 599,
    601, 607, 613, 617, 619, 631, 641, 643, 647, 653, 659, 661, 673, 677, 683,
    691, 701, 709, 719, 727, 733, 739, 743, 751, 757, 761, 769, 773, 787, 797,
    809, 811, 821, 823, 827, 829, 839, 853, 857, 859, 863, 877, 881, 883, 887,
    907, 911, 919, 929, 937, 941, 947, 953, 967, 971, 977, 983, 991, 997)

    wheel = (2, 3, 5)
    const = 30
    if N < 2:
        return []
    if N <= const:
        pos = 0
        while __smallp[pos] <= N:
            pos += 1
        return list(__smallp[:pos])
    # make the offsets list
    offsets = (7, 11, 13, 17, 19, 23, 29, 1)
    # prepare the list
    p = [2, 3, 5]
    dim = 2 + N // const
    tk1  = [True] * dim
    tk7  = [True] * dim
    tk11 = [True] * dim
    tk13 = [True] * dim
    tk17 = [True] * dim
    tk19 = [True] * dim
    tk23 = [True] * dim
    tk29 = [True] * dim
    tk1[0] = False
    # help dictionary d
    # d[a , b] = c  ==> if I want to find the smallest useful multiple of (30*pos)+a
    # on tkc, then I need the index given by the product of [(30*pos)+a][(30*pos)+b]
    # in general. If b < a, I need [(30*pos)+a][(30*(pos+1))+b]
    d = {}
    for x in offsets:
        for y in offsets:
            res = (x*y) % const
            if res in offsets:
                d[(x, res)] = y
    # another help dictionary: gives tkx calling tmptk[x]
    tmptk = {1:tk1, 7:tk7, 11:tk11, 13:tk13, 17:tk17, 19:tk19, 23:tk23, 29:tk29}
    pos, prime, lastadded, stop = 0, 0, 0, int(ceil(sqrt(N)))
    # inner functions definition
    def del_mult(tk, start, step):
        for k in xrange(start, len(tk), step):
            tk[k] = False
    # end of inner functions definition
    cpos = const * pos
    while prime < stop:
        # 30k + 7
        if tk7[pos]:
            prime = cpos + 7
            p.append(prime)
            lastadded = 7
            for off in offsets:
                tmp = d[(7, off)]
                start = (pos + prime) if off == 7 else (prime * (const * (pos + 1 if tmp < 7 else 0) + tmp) )//const
                del_mult(tmptk[off], start, prime)
        # 30k + 11
        if tk11[pos]:
            prime = cpos + 11
            p.append(prime)
            lastadded = 11
            for off in offsets:
                tmp = d[(11, off)]
                start = (pos + prime) if off == 11 else (prime * (const * (pos + 1 if tmp < 11 else 0) + tmp) )//const
                del_mult(tmptk[off], start, prime)
        # 30k + 13
        if tk13[pos]:
            prime = cpos + 13
            p.append(prime)
            lastadded = 13
            for off in offsets:
                tmp = d[(13, off)]
                start = (pos + prime) if off == 13 else (prime * (const * (pos + 1 if tmp < 13 else 0) + tmp) )//const
                del_mult(tmptk[off], start, prime)
        # 30k + 17
        if tk17[pos]:
            prime = cpos + 17
            p.append(prime)
            lastadded = 17
            for off in offsets:
                tmp = d[(17, off)]
                start = (pos + prime) if off == 17 else (prime * (const * (pos + 1 if tmp < 17 else 0) + tmp) )//const
                del_mult(tmptk[off], start, prime)
        # 30k + 19
        if tk19[pos]:
            prime = cpos + 19
            p.append(prime)
            lastadded = 19
            for off in offsets:
                tmp = d[(19, off)]
                start = (pos + prime) if off == 19 else (prime * (const * (pos + 1 if tmp < 19 else 0) + tmp) )//const
                del_mult(tmptk[off], start, prime)
        # 30k + 23
        if tk23[pos]:
            prime = cpos + 23
            p.append(prime)
            lastadded = 23
            for off in offsets:
                tmp = d[(23, off)]
                start = (pos + prime) if off == 23 else (prime * (const * (pos + 1 if tmp < 23 else 0) + tmp) )//const
                del_mult(tmptk[off], start, prime)
        # 30k + 29
        if tk29[pos]:
            prime = cpos + 29
            p.append(prime)
            lastadded = 29
            for off in offsets:
                tmp = d[(29, off)]
                start = (pos + prime) if off == 29 else (prime * (const * (pos + 1 if tmp < 29 else 0) + tmp) )//const
                del_mult(tmptk[off], start, prime)
        # now we go back to top tk1, so we need to increase pos by 1
        pos += 1
        cpos = const * pos
        # 30k + 1
        if tk1[pos]:
            prime = cpos + 1
            p.append(prime)
            lastadded = 1
            for off in offsets:
                tmp = d[(1, off)]
                start = (pos + prime) if off == 1 else (prime * (const * pos + tmp) )//const
                del_mult(tmptk[off], start, prime)
    # time to add remaining primes
    # if lastadded == 1, remove last element and start adding them from tk1
    # this way we don't need an "if" within the last while
    if lastadded == 1:
        p.pop()
    # now complete for every other possible prime
    while pos < len(tk1):
        cpos = const * pos
        if tk1[pos]: p.append(cpos + 1)
        if tk7[pos]: p.append(cpos + 7)
        if tk11[pos]: p.append(cpos + 11)
        if tk13[pos]: p.append(cpos + 13)
        if tk17[pos]: p.append(cpos + 17)
        if tk19[pos]: p.append(cpos + 19)
        if tk23[pos]: p.append(cpos + 23)
        if tk29[pos]: p.append(cpos + 29)
        pos += 1
    # remove exceeding if present
    pos = len(p) - 1
    while p[pos] > N:
        pos -= 1
    if pos < len(p) - 1:
        del p[pos+1:]
    # return p list
    return p

def sieveOfEratosthenes(n):
    """sieveOfEratosthenes(n): return the list of the primes < n."""
    # Code from: <dickinsm@gmail.com>, Nov 30 2006
    # http://groups.google.com/group/comp.lang.python/msg/f1f10ced88c68c2d
    if n <= 2:
        return []
    sieve = range(3, n, 2)
    top = len(sieve)
    for si in sieve:
        if si:
            bottom = (si*si - 3) // 2
            if bottom >= top:
                break
            sieve[bottom::si] = [0] * -((bottom - top) // si)
    return [2] + [el for el in sieve if el]

def sieveOfAtkin(end):
    """sieveOfAtkin(end): return a list of all the prime numbers <end
    using the Sieve of Atkin."""
    # Code by Steve Krenzel, <Sgk284@gmail.com>, improved
    # Code: https://web.archive.org/web/20080324064651/http://krenzel.info/?p=83
    # Info: http://en.wikipedia.org/wiki/Sieve_of_Atkin
    assert end > 0
    lng = ((end-1) // 2)
    sieve = [False] * (lng + 1)

    x_max, x2, xd = int(sqrt((end-1)/4.0)), 0, 4
    for xd in xrange(4, 8*x_max + 2, 8):
        x2 += xd
        y_max = int(sqrt(end-x2))
        n, n_diff = x2 + y_max*y_max, (y_max << 1) - 1
        if not (n & 1):
            n -= n_diff
            n_diff -= 2
        for d in xrange((n_diff - 1) << 1, -1, -8):
            m = n % 12
            if m == 1 or m == 5:
                m = n >> 1
                sieve[m] = not sieve[m]
            n -= d

    x_max, x2, xd = int(sqrt((end-1) / 3.0)), 0, 3
    for xd in xrange(3, 6 * x_max + 2, 6):
        x2 += xd
        y_max = int(sqrt(end-x2))
        n, n_diff = x2 + y_max*y_max, (y_max << 1) - 1
        if not(n & 1):
            n -= n_diff
            n_diff -= 2
        for d in xrange((n_diff - 1) << 1, -1, -8):
            if n % 12 == 7:
                m = n >> 1
                sieve[m] = not sieve[m]
            n -= d

    x_max, y_min, x2, xd = int((2 + sqrt(4-8*(1-end)))/4), -1, 0, 3
    for x in xrange(1, x_max + 1):
        x2 += xd
        xd += 6
        if x2 >= end: y_min = (((int(ceil(sqrt(x2 - end))) - 1) << 1) - 2) << 1
        n, n_diff = ((x*x + x) << 1) - 1, (((x-1) << 1) - 2) << 1
        for d in xrange(n_diff, y_min, -8):
            if n % 12 == 11:
                m = n >> 1
                sieve[m] = not sieve[m]
            n += d

    primes = [2, 3]
    if end <= 3:
        return primes[:max(0,end-2)]

    for n in xrange(5 >> 1, (int(sqrt(end))+1) >> 1):
        if sieve[n]:
            primes.append((n << 1) + 1)
            aux = (n << 1) + 1
            aux *= aux
            for k in xrange(aux, end, 2 * aux):
                sieve[k >> 1] = False

    s  = int(sqrt(end)) + 1
    if s  % 2 == 0:
        s += 1
    primes.extend([i for i in xrange(s, end, 2) if sieve[i >> 1]])

    return primes

def ambi_sieve_plain(n):
    s = range(3, n, 2)
    for m in xrange(3, int(n**0.5)+1, 2): 
        if s[(m-3)/2]: 
            for t in xrange((m*m-3)/2,(n>>1)-1,m):
                s[t]=0
    return [2]+[t for t in s if t>0]

def sundaram3(max_n):
    # http://stackoverflow.com/questions/2068372/fastest-way-to-list-all-primes-below-n-in-python/2073279#2073279
    numbers = range(3, max_n+1, 2)
    half = (max_n)//2
    initial = 4

    for step in xrange(3, max_n+1, 2):
        for i in xrange(initial, half, step):
            numbers[i-1] = 0
        initial += 2*(step+1)

        if initial > half:
            return [2] + filter(None, numbers)

################################################################################
# Using Numpy:
def ambi_sieve(n):
    # http://tommih.blogspot.com/2009/04/fast-prime-number-generator.html
    s = np.arange(3, n, 2)
    for m in xrange(3, int(n ** 0.5)+1, 2): 
        if s[(m-3)/2]: 
            s[(m*m-3)/2::m]=0
    return np.r_[2, s[s>0]]

def primesfrom3to(n):
    # http://stackoverflow.com/questions/2068372/fastest-way-to-list-all-primes-below-n-in-python/3035188#3035188
    """ Returns a array of primes, p < n """
    assert n>=2
    sieve = np.ones(n/2, dtype=np.bool)
    for i in xrange(3,int(n**0.5)+1,2):
        if sieve[i/2]:
            sieve[i*i/2::i] = False
    return np.r_[2, 2*np.nonzero(sieve)[0][1::]+1]    

def primesfrom2to(n):
    # http://stackoverflow.com/questions/2068372/fastest-way-to-list-all-primes-below-n-in-python/3035188#3035188
    """ Input n>=6, Returns a array of primes, 2 <= p < n """
    sieve = np.ones(n/3 + (n%6==2), dtype=np.bool)
    sieve[0] = False
    for i in xrange(int(n**0.5)/3+1):
        if sieve[i]:
            k=3*i+1|1
            sieve[      ((k*k)/3)      ::2*k] = False
            sieve[(k*k+4*k-2*k*(i&1))/3::2*k] = False
    return np.r_[2,3,((3*np.nonzero(sieve)[0]+1)|1)]

if __name__=='__main__':
    import itertools
    import sys

    def test(f1,f2,num):
        print('Testing {f1} and {f2} return same results'.format(
            f1=f1.func_name,
            f2=f2.func_name))
        if not all([a==b for a,b in itertools.izip_longest(f1(num),f2(num))]):
            sys.exit("Error: %s(%s) != %s(%s)"%(f1.func_name,num,f2.func_name,num))

    n=1000000
    test(sieveOfAtkin,sieveOfEratosthenes,n)
    test(sieveOfAtkin,ambi_sieve,n)
    test(sieveOfAtkin,ambi_sieve_plain,n) 
    test(sieveOfAtkin,sundaram3,n)
    test(sieveOfAtkin,sieve_wheel_30,n)
    test(sieveOfAtkin,primesfrom3to,n)
    test(sieveOfAtkin,primesfrom2to,n)
    test(sieveOfAtkin,rwh_primes,n)
    test(sieveOfAtkin,rwh_primes1,n)         
    test(sieveOfAtkin,rwh_primes2,n)

Running the script tests that all implementations give the same result.
 </s>