IronPython is managed Python implementation for .NET platform developed at Microsoft. Its great performance, small footprint and ease of use make it a strong alternative for other scripting languages for .NET (like JScript.NET and VB.NET).
One important aspect you can use a scripting engine is to embed it in your application to provide customization capabilities for the end user. Mike Stall published two articles that explain how to embed IronPython in your applications giving example of existing application MDbg (a managed debugger written in C#). Here are the articles:
Adding IronPython scripting engine to Mdbg
How to embed IronPython script support in your existing app in 10 easy steps
To learn more check out the IronPython website and download IronPython 0.9.1 and explore for yourself.
Updated: There is a follow up article by Shawn Farkas where he extends the sample provided earlier by Mike.