In terms of performance my favorite answer would be:
b.extend(a)
Check how the related alternatives compare with each other in terms of performance:
In [1]: import timeit
In [2]: timeit.timeit('b.extend(a)', setup='b=[];a=range(0,10)', number=100000000)
Out[2]: 9.623248100280762
In [3]: timeit.timeit('b = a[:]', setup='b=[];a=range(0,10)', number=100000000)
Out[3]: 10.84756088256836
In [4]: timeit.timeit('b = list(a)', setup='b=[];a=range(0,10)', number=100000000)
Out[4]: 21.46313500404358
In [5]: timeit.timeit('b = [elem for elem in a]', setup='b=[];a=range(0,10)', number=100000000)
Out[5]: 66.99795293807983
In [6]: timeit.timeit('for elem in a: b.append(elem)', setup='b=[];a=range(0,10)', number=100000000)
Out[6]: 67.9775960445404
In [7]: timeit.timeit('b = deepcopy(a)', setup='from copy import deepcopy; b=[];a=range(0,10)', number=100000000)
Out[7]: 1216.1108016967773
