Scikits.statsmodels [1] is the main statistical and econometric library for Python. It is usually used with pandas [2], which provides nice interfaces to your data, particularly for time-series. You can also call R functions with the rpy2 bridge [3]; pandas provides a higher-level API for using rpy2, though last I checked it's not fully fleshed out yet.

Wes McKinney, the developer of pandas, writes a blog [4] that provides a good look at data analysis in Python, particularly if you're in finance.

1. http://statsmodels.sourceforge.net/

2. http://pandas.sourceforge.net/

3. http://rpy.sourceforge.net/rpy2.html

4. http://blog.wesmckinney.com/