What is the deal with the pony in Python community?

When you start listing what you want, "I want a fast HTTP parser", "I want ORM that just works", "I want higher order functions", the idea is that while you're wishing for things, you might as well wish for a pony too. This is probably a reference to a Calvin and Hobbes strip from "Someone under the bed is drooling", in which Susie Derkins says that as long as she's dreaming, she might as well wish for a pony.

Its a Django unofficial mascot. See this blog post for an explanation.

Python generally uses Monty Python references (and sometimes snake references, for the misguided).

It's the Django mascot.