See the accepted answer from @Chronial which is the best way to do this in modern ipython or jupyter (as of 2018) is to use the %pip magic:
%pip install my_package
The answer below from 2011 is now outdated: See the accepted answer for an easier way to do this in modern jupyter.
You can use the ! prefix like this:
!pip install packagename
The ! prefix is a short-hand for the %sc command to run a shell command.
You can also use the !! prefix which is a short-hand for the %sx command to execute a shell command and capture its output (saved into the _ variable by default).