Use weekday():
>>> import datetime
>>> datetime.datetime.today()
datetime.datetime(2012, 3, 23, 23, 24, 55, 173504)
>>> datetime.datetime.today().weekday()
4
From the documentation:
Return the day of the week as an integer, where Monday is 0 and Sunday is 6.
If you’d like to have the date in English:
from datetime import date
import calendar
my_date = date.today()
calendar.day_name[my_date.weekday()] #’Wednesday’