askopenfilenames returns a string instead of a list, that problem is still open in the issue tracker, and the best solution so far is to use splitlist:
import Tkinter,tkFileDialog
root = Tkinter.Tk()
filez = tkFileDialog.askopenfilenames(parent=root, title="Choose a file")
print root.tk.splitlist(filez)
Python 3 update:
tkFileDialog has been renamed, and now askopenfilenames directly returns a tuple:
import tkinter as tk
import tkinter.filedialog as fd
root = tk.Tk()
filez = fd.askopenfilenames(parent=root, title="Choose a file")