Something like this might do the trick:
import matplotlib.pyplot as plt
from itertools import cycle
lines = ["-","--","-.",":"]
linecycler = cycle(lines)
plt.figure()
for i in range(10):
x = range(i,i+10)
plt.plot(range(10),x,next(linecycler))
plt.show()
Result:

Edit for newer version (v2.22)
import matplotlib.pyplot as plt
from cycler import cycler
#
plt.figure()
for i in range(5):
x = range(i,i+5)
linestyle_cycler = cycler('linestyle',['-','--',':','-.'])
plt.rc('axes', prop_cycle=linestyle_cycler)
plt.plot(range(5),x)
plt.legend(['first','second','third','fourth','fifth'], loc="upper left", fancybox=True, shadow=True)
plt.show()
For more detailed information consult the matplotlib tutorial on “Styling with cycler”
To see the output click “show figure”