Line continuation for list comprehensions or generator expressions in python

[x
 for
 x
 in
 (1,2,3)
]

works fine, so you can pretty much do as you please. I'd personally prefer

 [something_that_is_pretty_long
  for something_that_is_pretty_long
  in somethings_that_are_pretty_long]

The reason why \ isn't appreciated very much is that it appears at the end of a line, where it either doesn't stand out or needs extra padding, which has to be fixed when line lengths change:

x = very_long_term                     \
  + even_longer_term_than_the_previous \
  + a_third_term

In such cases, use parens:

x = (very_long_term
     + even_longer_term_than_the_previous
     + a_third_term)

You can also make use of multiple indentations in cases where you're dealing with a list of several data structures.

new_list = [
    {
        'attribute 1': a_very_long_item.attribute1,
        'attribute 2': a_very_long_item.attribute2,
        'list_attribute': [
            {
                'dict_key_1': attribute_item.attribute2,
                'dict_key_2': attribute_item.attribute2
            }
            for attribute_item
            in a_very_long_item.list_of_items
         ]
    }
    for a_very_long_item
    in a_very_long_list
    if a_very_long_item not in [some_other_long_item
        for some_other_long_item 
        in some_other_long_list
    ]
]

Notice how it also filters onto another list using an if statement. Dropping the if statement to its own line is useful as well.

I'm not opposed to:

variable = [something_that_is_pretty_long
            for something_that_is_pretty_long
            in somethings_that_are_pretty_long]

You don't need \ in this case. In general, I think people avoid \ because it's slightly ugly, but also can give problems if it's not the very last thing on the line (make sure no whitespace follows it). I think it's much better to use it than not, though, in order to keep your line lengths down.

Since \ isn't necessary in the above case, or for parenthesized expressions, I actually find it fairly rare that I even need to use it.