A list comprehension is easiest here:
>>> n = 5
>>> lists = [[] for _ in range(n)]
>>> lists
[[], [], [], [], []]
Be wary not to fall into the trap that is:
>>> lists = [[]] * 5
>>> lists
[[], [], [], [], []]
>>> lists[0].append(1)
>>> lists
[[1], [1], [1], [1], [1]]