Download the source from the Python website. Say you unzipped the source into a directory named Python-3.1.1. I suggest you two starting points within Python source code that would help you explore how Python works under the hood:
Examine how the Python Virtual Machine executes the bytecode generated from the interperter. The Python VM is in the file named Python-3.1.1/Python/ceval.c. The core of the VM is an eval loop that starts at the function PyEval_EvalFrameEx in ceval.c. Read through the source and the inline comments. I am sure you would enjoy it.
Another option is to look at how built-in python data types like lists, dictionaries and sets are implemented. For instance sets are implemented in Python-3.1.1/Objects/setobject.c. The Objects directory contains implementations of other data types as well.
