Another way to do this, if you're in a hurry and don't mind the hacky-aftertaste, is to execute the output of the python script in your bash environment and print out the commands to execute setting the environment in python. Not ideal but it can get the job done in a pinch. It's not very portable across shells, so YMMV.
$(python -c 'print "export MY_DATA=my_export"')(you can also enclose the statement in backticks in some shells ``)