Yes, Python, like almost all other languages, reserves the "\" character for identifying escape sequences. If you want to output a newline you print "\n", a tab is "\t", an alert is "\a", etc, etc...
You can get a complete list on all of the different escape sequences.
To output a slash, you can write, as kurt mentioned:
print "This is one slash: \\ ... \nThis is two slashes: \\\\"
Escape sequences can also be used to output an apostraphe without closing your print statement:
print "Look! An apostraphe: \" ... And yet this is still printed out!"
print 'Another apostraphe: \' ... More text'