I've noticed a few Python packages that use config files written in Python. Apart from the obvious privilege escalation, what are the pros and cons of this approach?
Is there much of a precedence for this? Are there any guides as to the best way to implement this?
Just to clarify: In my particular use case, this will only be used by programmers or people who know what they're doing. It's not a config file in a piece of software that will be distributed to end users.
This is yet another config file option.  There are several quite adequate config file formats available.  
Please take a moment to understand the system administrator's viewpoint or some 3rd party vendor supporting your product.  If there is yet another config file format they might drop your product.  If you have a product that is of monumental importance then people will go through the hassle of learning the syntax just to read your config file.  (like X.org, or apache)
If you plan on another programming language accessing/writing the config file info then a python based config file would be a bad idea.
Using config files written in Python