It depends on what you're doing.
After Python 2.5, string concatenation with the + operator is pretty fast. If you're just concatenating a couple of values, using the + operator works best:
>>> x = timeit.Timer(stmt="'a' + 'b'")
>>> x.timeit()
0.039999961853027344
>>> x = timeit.Timer(stmt="''.join(['a', 'b'])")
>>> x.timeit()
0.76200008392333984
However, if you're putting together a string in a loop, you're better off using the list joining method:
>>> join_stmt = """
... joined_str = ''
... for i in xrange(100000):
... joined_str += str(i)
... """
>>> x = timeit.Timer(join_stmt)
>>> x.timeit(100)
13.278000116348267
>>> list_stmt = """
... str_list = []
... for i in xrange(100000):
... str_list.append(str(i))
... ''.join(str_list)
... """
>>> x = timeit.Timer(list_stmt)
>>> x.timeit(100)
12.401000022888184
...but notice that you have to be putting together a relatively high number of strings before the difference becomes noticeable.