Find all the factors of a given natural number, N
You don't need to keep an intermediate list here, just add all the divisors to a set:

from math import sqrt

def get_all_factors(n):
    divisors = set()
    for i in xrange(1, int(sqrt(n)) + 1):
        if n % i == 0:
            divisors.add(i)
            divisors.add(n / i)
    return divisors

if __name__ == "__main__":
    print get_all_factors(60)


I also added a if __name__ == "__main__": guard to allow importing this function from another script.

Note that there is no requirement for the output to be a sorted list in the problem statement you posted. If there is, you can just call sorted on the output of this.

As @kyrill mentioned in the comments, you could also make this a generator:

from math import sqrt, ceil

def get_all_factors(n):
    sqrt_n = sqrt(n)
    for i in xrange(1, int(ceil(sqrt_n))):
        if n % i == 0:
            yield i
            yield n / i
    if sqrt_n % 1 == 0:
        yield int(sqrt_n)