For licensing reasons, Python on OS X comes without readline support (libreadline is GPL). Unfortunatley, this earlier hint no longer works in Tiger.
There is, however, a standalone readline distutils package made by Bill Bumgarner. I have slightly adapted it [click to download] to work either with a pre-installed readline from Fink, or with the included readline-5.1 without installing it. Hope this helps!
[robg adds: I haven't tested this one.]

