How to make a custom object iterable?

simply implementing __iter__ should be enough.

class direction(object) :
    def __init__(self, id) :
        self.id = id              
        self.__stations = list()

    def __iter__(self):
        #return iter(self.__stations[1:]) #uncomment this if you wanted to skip the first element.
        return iter(self.__stations)


a = direction(1)
a._direction__stations= range(5)

b = direction(1)
b._direction__stations = range(10)

import itertools
print list(itertools.chain.from_iterable([a,b]))
print list(itertools.chain.from_iterable([range(5),range(10)]))

output:

[0, 1, 2, 3, 4, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9]
[0, 1, 2, 3, 4, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9]

See here for why it's _direction__stations

Any identifier of the form __spam (at least two leading underscores, at most one trailing underscore) is textually replaced with classname_spam, where classname is the current class name with leading underscore(s) stripped.

__iter__ is what gets called when you try to iterate over a class instance:

>>> class Foo(object):
...     def __iter__(self):
...         return (x for x in range(4))
...
>>> list(Foo())
[0, 1, 2, 3]

__next__ is what gets called on the object which is returned from __iter__ (on python2.x, it's next, not __next__ -- I generally alias them both so that the code will work with either...):

class Bar(object):
    def __init__(self):
        self.idx = 0
        self.data = range(4)
    def __iter__(self):
        return self
    def __next__(self):
        self.idx += 1
        try:
            return self.data[self.idx-1]
        except IndexError:
            self.idx = 0
            raise StopIteration  # Done iterating.
    next = __next__  # python2.x compatibility.

In the comments, it was asked how you would construct and object that could be iterated multiple times. In this case, I'd recommend taking the same approach that Python takes and split the iterator from the data container:

class BarIterator(object):
    def __init__(self, data_sequence):
        self.idx = 0
        self.data = data_sequence
    def __iter__(self):
        return self
    def __next__(self):
        self.idx += 1
        try:
            return self.data[self.idx-1]
        except IndexError:
            self.idx = 0
            raise StopIteration  # Done iterating.


class Bar(object):
    def __init__(self, data_sequence):
        self.data_sequence = data_sequence
    def __iter__(self):
        return BarIterator(self.data_sequence)

You can subclass list as well:

class Direction(list):
    def __init__(self, seq=[], id_=None):
        list.__init__(self,seq)
        self.id = id_ if id_ else id(self)

    def __iter__(self):
        it=list.__iter__(self) 
        next(it)                       # skip the first...
        return it  

d=Direction(range(10))
print(d)       # all the data, no iteration
# [0, 1, 2, 3, 4]

print (', '.join(str(e) for e in d))     # 'for e in d' is an iterator
# 1, 2, 3, 4

ie, skips the first.

Works for nested lists as well:

>>> d1=Direction([range(5), range(10,15), range(20,25)])
>>> d1
[range(0, 5), range(10, 15), range(20, 25)]
print(list(itertools.chain.from_iterable(d1)))
[10, 11, 12, 13, 14, 20, 21, 22, 23, 24]