List Comprehension: why is this a syntax error?

Because print is not a function, it's a statement, and you can't have them in expressions. This gets more obvious if you use normal Python 2 syntax:

my_list=[1,2,3]
[print my_item for my_item in my_list]

That doesn't look quite right. :) The parenthesizes around my_item tricks you.

This has changed in Python 3, btw, where print is a function, where your code works just fine.

list comprehension are designed to create a list. So using print inside it will give an error no-matter we use print() or print in 2.7 or 3.x. The code

[my_item for my_item in my_list] 

makes a new object of type list.

print [my_item for my_item in my_list]

prints out this new list as a whole

refer : here

It's a syntax error because print is not a function. It's a statement. Since you obviously don't care about the return value from print (since it has none), just write the normal loop:

for my_item in my_list:
    print my_item