I would like to try to write a GUI application in Python. I found out that there are a lot of ways to do it (different toolkits). And, in this context, I have several basic (and I think simple) question?

Is it, in general, a good idea to write a GUI application in Python?
What is the standard (easiest and most stable) way to create a GUI applications in Python?
Does anybody can give me a link to a simple Hello World GUI application written in Python?
As an answer for #1: Yes.  It is quite good for this; scripting languages with GUI toolkits are often a good way to put a GUI on an application.  They can also be used to wrap applications written in low level languages such as C or C++.  Python offers good integration to quite a few toolkits.  The posting linked above gives a pretty good cross section of the options with code samples.
For #2: TkInter comes with the standard distribution.  It is easy to use but not as sophisticated as (say) QT or WxWidgets.
How to write GUI in Python?