Others have recommended BeautifulSoup, but it's much better to use lxml. Despite its name, it is also for parsing and scraping HTML. It's much, much faster than BeautifulSoup, and it even handles "broken" HTML better than BeautifulSoup (their claim to fame). It has a compatibility API for BeautifulSoup too if you don't want to learn the lxml API.
Ian Blicking agrees.
There's no reason to use BeautifulSoup anymore, unless you're on Google App Engine or something where anything not purely Python isn't allowed.
lxml.html also supports CSS3 selectors so this sort of thing is trivial.
An example with lxml and xpath would look like this:
import urllib
import lxml.html
connection = urllib.urlopen('http://www.nytimes.com')
dom = lxml.html.fromstring(connection.read())
for link in dom.xpath('//a/@href'): # select the url in href for all a tags(links)
print link
