As an update on this question, I believe the accepted answer is not the best as of 2017.
As suggested in comments by Kyle,
hmmlearn is currently the library to go with for HMMs in Python.
Several reasons for this:
The up-to-date documentation, that is very detailed and includes tutorial
_BaseHMM class from which custom subclass can inherit for implementing HMM variants
Compatible with the last versions of Python 3.5+
Opposite to this, the
ghmm library does not support Python 3.x according to the current documentation. Most of the documentation pages have been generated in 2006. It does not seem at first glance a library of choice...
Edit: Still valid in 2018.