This can affect a lot of things, besides just python scripts, so it's good to know. Any text files that I modify on a Windows machine I do so with an editor I can tell "this is a Unix-format file, don't screw it up!" Vim syntax files are a good example of when format is important.
One of the annoyances with the whole issue is that applications handle the formats differently. A file in "DOS" format viewed on a Linux machine might look just fine, or it might have the funky ^M style characters added, or it might even appear all on one line depending on which program you use.
Check out Gordaen's Knowledge, the blog, and the MR2 page.