for i in range(worksheet.nrows):
will iterate through all the rows in the worksheet
if you were interested in column 0 for example
c0 = [worksheet.row_values(i)[0] for i in range(worksheet.nrows) if worksheet.row_values(i)[0]]
or even better make this a generator
column_generator = (worksheet.row_values(i)[0] for i in range(worksheet.nrows))
then you can use itertools.takewhile for lazy evaluations... that will stop when you get your first empty... this will provide better performance if you just want to stop once you get your first empty value
from itertools import takewhile
print list(takewhile(str.strip,column_generator))