Tuples first. These are list-like things that cannot be modified. Because the contents of a tuple cannot change, you can use a tuple as a key in a dictionary. That's the most useful place for them in my opinion. For instance if you have a list like item = ["Ford pickup", 1993, 9995]
and you want to make a little in-memory database with the prices you might try something like:
ikey = tuple(item[0], item[1])
idata = item[2]
db[ikey] = idata
Lists, seem to be like arrays or vectors in other programming languages and are usually used for the same types of things in Python. However, they are more flexible in that you can put different types of things into the same list. Generally, they are the most flexible data structure since you can put a whole list into a single list element of another list, but for real data crunching they may not be efficient enough.
a = [1,"fred",7.3]
b = []
b.append(1)
b[0] = "fred"
b.append(a) # now the second element of b is the whole list a
Dictionaries are often used a lot like lists, but now you can use any immutable thing as the index to the dictionary. However, unlike lists, dictionaries don't have a natural order and can't be sorted in place. Of course you can create your own class that incorporates a sorted list and a dictionary in order to make a dict behave like an Ordered Dictionary. There are examples on the Python Cookbook site.
c = {}
d = ("ford pickup",1993)
c[d] = 9995
Arrays are getting closer to the bit level for when you are doing heavy duty data crunching and you don't want the frills of lists or dictionaries. They are not often used outside of scientific applications. Leave these until you know for sure that you need them.
Lists and Dicts are the real workhorses of Python data storage.