It's called the shebang line, and it only comes into play when your script file is set executable (chmod +x), and you start it directly (i.e. "./myscript" or "myscript" if it's in your $PATH). If your script is in MyDocs (which is mounted noexec on Maemo 5), you cannot start it this way, so you always have to use the interpreter (which - in case of Python - lies in /usr/bin, and is executable) and pass the script as argument in that case.

You can also have Python scripts without the shebang line and without .py as extension - simply start it by passing it as argument to the Python interpreter ("python myscript"). The shebang line is also helpful for editors to autodetect the file type.