I usually create a dictionary containing a DataFrame for every sheet:
xl_file = pd.ExcelFile(file_name)
dfs = {sheet_name: xl_file.parse(sheet_name)
for sheet_name in xl_file.sheet_names}
Update: In pandas version 0.21.0+ you will get this behavior more cleanly by passing sheet_name=None to read_excel:
dfs = pd.read_excel(file_name, sheet_name=None)
In 0.20 and prior, this was sheetname rather than sheet_name (this is now deprecated in favor of the above):
dfs = pd.read_excel(file_name, sheetname=None)