The main flaw of using a here document is that the script’s standard input will be the here document. So if you have a script which wants to process its standard input, python -c is pretty much your only option.
On the other hand, using python -c '...' ties up the single-quote for the shell’s needs, so you can only use double-quoted strings in your Python script; using double-quotes instead to protect the script from the shell introduces additional problems (strings in double-quotes undergo various substitutions, whereas single-quoted strings are literal in the shell).
As an aside, notice that you probably want to single-quote the here-doc delimiter, too, otherwise the Python script is subject to similar substitutions.
python - <<'____HERE'
print("""Look, we can have double quotes!""")
print('And single quotes! And `back ticks`!')
print("$(and what looks to the shell like command substitutions and $variables!)")
____HERE
As an alternative, escaping the delimiter works identically, if you prefer that (python - <<\____HERE)