Python doesn't really support cross compilation.  I've created a patch for Python 2.7.3 which compiles nearly all of Python (except a couple modules).  Patches for Python 3 are also included, but I didn't have anything to do with them.

My patch allows for cross compilation as well as the building of modules.

The only issue I'm aware of is that the ELFCLASS of the modules that are to be built must be the same.  This is because python uses sys.platform to determine which folder to generate the modules in, and so the sys.platform is always that of the host system.  When generating the modules, we should probably generate them twice, once for the host system (using sys.platform), and once for the cross-compiled system (using the cross-compiled system's sys.platform).

The patches can be found here:
http://randomsplat.com/id5-cross-compiling-python-for-embedded-linux.html

Given the rise of embedded systems, it's a big drawback that cross compiling Python is so difficult.