If you are using a unixy system or cygwin then take a look at the join command - it may do exactly what you are asking.
[26] % join --help
Usage: join [OPTION]... FILE1 FILE2
For each pair of input lines with identical join fields, write a line to
standard output. The default join field is the first, delimited
by whitespace. When FILE1 or FILE2 (not both) is -, read standard input.
-a FILENUM print unpairable lines coming from file FILENUM, where
FILENUM is 1 or 2, corresponding to FILE1 or FILE2
-e EMPTY replace missing input fields with EMPTY
-i, --ignore-case ignore differences in case when comparing fields
-j FIELD equivalent to `-1 FIELD -2 FIELD'
-o FORMAT obey FORMAT while constructing output line
-t CHAR use CHAR as input and output field separator
-v FILENUM like -a FILENUM, but suppress joined output lines
-1 FIELD join on this FIELD of file 1
-2 FIELD join on this FIELD of file 2
--help display this help and exit
--version output version information and exit
Unless -t CHAR is given, leading blanks separate fields and are ignored,
else fields are separated by CHAR. Any FIELD is a field number counted
from 1. FORMAT is one or more comma or blank separated specifications,
each being `FILENUM.FIELD' or `0'. Default FORMAT outputs the join field,
the remaining fields from FILE1, the remaining fields from FILE2, all
separated by CHAR.
Important: FILE1 and FILE2 must be sorted on the join fields.
Report bugs to <[email protected]>.
If you want something more sophisticated or you absolutely have to do it in python then consider reading the files into a in-memory SQLite database - you then have the full power of SQL to merge and manipulate the data.
edit just read that the files are too big to fit in memory. You can still use SQLite, but create a temporary on-disk database.