Python is often used in conjunction with the scikit-learn collection of libraries. The most important libraries used for ML in Python are grouped inside a distribution called Anaconda. This is the distribution that’s also used inside Azure ML1. Besides Python and scikit-learn, Anaconda contains all kinds of Data Science-oriented packages. It’s a good idea to install Anaconda as a distribution and use Jupyter (formerly IPython) as development environment: Anaconda gives you almost the same environment on your local machine as your code will run in once in Azure ML. Jupyter gives you a nice way to keep code (in Python) and write / document (in Markdown) together.
Anaconda can be downloaded from https://www.continuum.io/downloads.
If you’re going down this path, Anaconda is absolutely a great choice.