What is the easiest way to get all strings that do not start with a character?

Use generator expressions, the best way I think.

for line in (line for line in x if not line.startswith('?')):
    DO_STUFF

Or your way:

for line in x:
    if line.startswith("?"):
        continue
    DO_STUFF

Or:

for line in x:
    if not line.startswith("?"):
        DO_STUFF

It is really up to your programming style. I prefer the first one, but maybe second one seems simplier. But I don't really like third one because of a lot of indentation.

Here is a nice one-liner, which is very close to natural language.

String definition:

StringList = [ '__one', '__two', 'three', 'four' ]

Code which performs the deed:

BetterStringList = [ p for p in StringList if not(p.startswith('__'))]