Python string class like StringBuilder in C#?

There is no one-to-one correlation. For a really good article please see Efficient String Concatenation in Python:

Building long strings in the Python progamming language can sometimes result in very slow running code. In this article I investigate the computational performance of various string concatenation methods.

TLDR the fastest method is below. It's extremely compact, and also pretty understandable:

def method6():
  return ''.join([`num` for num in xrange(loop_count)])

Relying on compiler optimizations is fragile. The benchmarks linked in the accepted answer and numbers given by Antoine-tran are not to be trusted. Andrew Hare makes the mistake of including a call to repr in his methods. That slows all the methods equally but obscures the real penalty in constructing the string.

Use join. It's very fast and more robust.

$ ipython3
Python 3.5.1 (default, Mar  2 2016, 03:38:02) 
IPython 4.1.2 -- An enhanced Interactive Python.

In [1]: values = [str(num) for num in range(int(1e3))]

In [2]: %%timeit
   ...: ''.join(values)
   ...: 
100000 loops, best of 3: 7.37 µs per loop

In [3]: %%timeit
   ...: result = ''
   ...: for value in values:
   ...:     result += value
   ...: 
10000 loops, best of 3: 82.8 µs per loop

In [4]: import io

In [5]: %%timeit
   ...: writer = io.StringIO()
   ...: for value in values:
   ...:     writer.write(value)
   ...: writer.getvalue()
   ...: 
10000 loops, best of 3: 81.8 µs per loop