If you use numpy/scipy, you can use the scipy.io.savemat function:
import numpy, scipy.io
arr = numpy.arange(9) # 1d array of 9 numbers
arr = arr.reshape((3, 3)) # 2d array of 3x3
scipy.io.savemat('c:/tmp/arrdata.mat', mdict={'arr': arr})
Now, you can load this data into MATLAB using File -> Load Data. Select the file and the arr variable (a 3×3 matrix) will be available in your environment.
Note: I did this on scipy 0.7.0. (scipy 0.6 has savemat in the scipy.io.mio module.) See the latest documentation for more detail
EDIT: updated link thanks to @gnovice.