Without installing: online Python - requires javascript-enabled browser. Please don't abuse this site - if you want to use Python for experimenting, install it.
Activestate version - containing some customizations for Windows.
After dowloading the installer, double-click to run downloaded .exe file.
rjseagraves from Ubuntu forums says: "Python is installed on the Mac by default, but usually about a minor version behind the latest stable python release. Instead, download a version of IDLE that includes the latest python release at http://www.python.org/download/mac "
Python is installed by default on all distros I know about. If not, follow install guide for your distribution.
You can also download and burn UbuntuLiveCD and run python directly from it (and later use it to install Ubuntu).
On Linux, you may want to install IDLE - simple Python IDE. On Windows, it is included in installer. See PythonIDE for more