What is the OCaml idiom equivalent to Python's range function?

There is no idiom that I know of, but here is a fairly natural definition using an infix operator:

# let (--) i j = 
    let rec aux n acc =
      if n < i then acc else aux (n-1) (n :: acc)
    in aux j [] ;;
val ( -- ) : int -> int -> int list = <fun>
# 1--2;;
- : int list = [1; 2]
# 1--5;;
- : int list = [1; 2; 3; 4; 5]
# 5--10;;
- : int list = [5; 6; 7; 8; 9; 10]

Alternatively, the comprehensions syntax extension (which gives the syntax [i .. j] for the above) is likely to be included in a future release of the "community version" of OCaml, so that may become idiomatic. I don't recommend you start playing with syntax extensions if you are new to the language, though.

With Batteries Included, you can write

let nums = List.of_enum (1--10);;

The -- operator generates an enumeration from the first value to the second. The --^ operator is similar, but enumerates a half-open interval (1--^10 will enumerate from 1 through 9).

Here you go:

let rec range i j = if i > j then [] else i :: (range (i+1) j)

Note that this is not tail-recursive. Modern Python versions even have a lazy range.