There is a built in module in Python >= 3.3: http://docs.python.org/3.3/library/lzma
And there is also a backport of the module on the PyPI: https://pypi.python.org/pypi/backports.lzma
(If you're on Windows and you don't want to compile it by yourself you can use the PyLZMA package from Unofficial Windows Binaries for Python).