Use the str.translate() method.
Presuming you will be doing this often:
(1) Once, create a string containing all the characters you wish to delete:
delchars = ''.join(c for c in map(chr, range(256)) if not c.isalnum())
(2) Whenever you want to scrunch a string:
scrunched = s.translate(None, delchars)
The setup cost probably compares favourably with re.compile; the marginal cost is way lower:
C:\junk>\python26\python -mtimeit -s"import string;d=''.join(c for c in map(chr,range(256)) if not c.isalnum());s=string.printable" "s.translate(None,d)"
100000 loops, best of 3: 2.04 usec per loop
C:\junk>\python26\python -mtimeit -s"import re,string;s=string.printable;r=re.compile(r'[\W_]+')" "r.sub('',s)"
100000 loops, best of 3: 7.34 usec per loop
Note: Using string.printable as benchmark data gives the pattern '[\W_]+' an unfair advantage; all the non-alphanumeric characters are in one bunch ... in typical data there would be more than one substitution to do:
C:\junk>\python26\python -c "import string; s = string.printable; print len(s),repr(s)"
100 '0123456789abcdefghijklmnopqrstuvwxyzABCDEFGHIJKLMNOPQRSTUVWXYZ!"#$%&\'()*+,-./:;=>?@[\\]^_`{|}~ \t\n\r\x0b\x0c'
Here's what happens if you give re.sub a bit more work to do:
C:\junk>\python26\python -mtimeit -s"d=''.join(c for c in map(chr,range(256)) if not c.isalnum());s='foo-'*25" "s.translate(None,d)"
1000000 loops, best of 3: 1.97 usec per loop
C:\junk>\python26\python -mtimeit -s"import re;s='foo-'*25;r=re.compile(r'[\W_]+')" "r.sub('',s)"
10000 loops, best of 3: 26.4 usec per loop