You may be interested in my PythonTeX package. It only executes Python code when it is modified, saves all Python-generated results, and provides persistence between environments/commands.
I expect that part of the problem you were running into in your example relates to the internal workings of \draw. I couldn't get an equivalent example to work with my package either, and received similar errors. However, the following example does work. Note that the pycode environment currently cannot be indented, so the formatting is a little different than your example. Also, the \py and \pyc are for inline use, when you don't need a whole environment. \pyc executes code, and \py returns a string representation of whatever it is given.
\documentclass[oneside]{memoir}
\usepackage{pgfplots}
\usepackage{pythontex}
\begin{document}
\begin{figure}[H]
\centering
\begin{tikzpicture}
\begin{pycode}
a = 2
print(r'\draw (0, 0) -- ({0}, 0);'.format(a))
\end{pycode}
\pyc{b = 3}
\py{r'\draw (0, 0) -- ({0}, 1);'.format(b)}
\end{tikzpicture}
\caption{Blah.}
\end{figure}
\end{document}
Update August 2016
PythonTeX now has commands and environments for variable substitution/string interpolation. A version of the example rewritten to use one of these is included below.
Everything in the pysub environment is passed to Python verbatim. Substitution fields take the form !{<expression>}. If <expression> starts or ends with a literal curly brace, then a space should be added to separate the curly brace that is part of <expression> from the delimiting braces. If <expression> contains unpaired curly braces, then more delimiters may be used. For example, !{{{<expression>}}} would allow <expression> to contain any combination of unpaired {, {{, }, or }} (basically, any sequence of braces shorter than the delimiters). More details are available in the PythonTeX documentation.
\documentclass[oneside]{memoir}
\usepackage{pgfplots}
\usepackage{pythontex}
\begin{document}
\begin{figure}[h]
\centering
\begin{pycode}
a = 2
b = 3
\end{pycode}
\begin{pysub}
\begin{tikzpicture}
\draw (0, 0) -- (!{a}, 0);
\draw (0, 0) -- (!{b}, 1);
\end{tikzpicture}
\end{pysub}
\caption{Blah.}
\end{figure}
\end{document}
Best Answer
The code compiles fine if I remove the
%characters:The problem is that
\begin{python}needs to see an end-of-line to start it working; and if you comment it, the next one that's seen is too late and theprintline is gobbled, so nothing is written out.