is there a pythonic way to try something up to a maximum number of times?

How about:

conn = MySQLdb.connect(host, user, password, database)
cursor = conn.cursor()
attempts = 0

while attempts < 3:
    try:
        cursor.execute(query)
        rows = cursor.fetchall()
        for row in rows:
            # do something with the data
        break
    except MySQLdb.Error, e:
        attempts += 1
        print "MySQL Error %d: %s" % (e.args[0], e.args[1])

Building on Dana's answer, you might want to do this as a decorator:

def retry(howmany):
    def tryIt(func):
        def f():
            attempts = 0
            while attempts < howmany:
                try:
                    return func()
                except:
                    attempts += 1
        return f
    return tryIt

Then...

@retry(5)
def the_db_func():
    # [...]

Enhanced version that uses the decorator module

import decorator, time

def retry(howmany, *exception_types, **kwargs):
    timeout = kwargs.get('timeout', 0.0) # seconds
    @decorator.decorator
    def tryIt(func, *fargs, **fkwargs):
        for _ in xrange(howmany):
            try: return func(*fargs, **fkwargs)
            except exception_types or Exception:
                if timeout is not None: time.sleep(timeout)
    return tryIt

Then...

@retry(5, MySQLdb.Error, timeout=0.5)
def the_db_func():
    # [...]

To install the decorator module:

$ easy_install decorator