The accepted answer is incorrect incomplete (at least for Python 3.6 and above).
By catching Exception you catch most errors – basically all the errors that any module you use might throw.
By catching BaseException, in addition to all the above exceptions, you also catch exceptions of the types SystemExit, KeyboardInterrupt, and GeneratorExit.
By catching KeyboardInterrupt, for example, you may stop your code from exiting after an initiated exit by the user (like pressing ^C in the console, or stopping launched application on some interpreters). This could be a wanted behavior (for example – to log an exit), but should be used with extreme care!
In the above example, by catching BaseException, you may cause your application to hang when you want it to exit.