What is the deal with the pony in Python community?

Its a Django unofficial mascot. See this blog post for an explanation.

Python generally uses Monty Python references (and sometimes snake references, for the misguided).

When you start listing what you want, "I want a fast HTTP parser", "I want ORM that just works", "I want higher order functions", the idea is that while you're wishing for things, you might as well wish for a pony too. This is probably a reference to a Calvin and Hobbes strip from "Someone under the bed is drooling", in which Susie Derkins says that as long as she's dreaming, she might as well wish for a pony.