Probable cause: CMake'ified python is not built with ZLib

Possible Solution:
Update External_python.cmake

 * On Win32: 
     1) add zlib as a dependency  [Already built for LibArchive]
     2) Pass the following options:
           -DZLIB_LIBRARIES:FILEPATH=${zlib_DIR}/lib/zlib.lib

 * On Unix:
     1) Pass option:
           -DUSE_SYSTEM_ZLIB:BOOL=ON

Topic to test: https://github.com/jcfr/Slicer/compare/build-python-with-zlib

No, sorry to report it still doesn't work.

During the python build it reports the following:

[ 61%] Performing update step for 'python'
-- python update command succeeded. See also /tmp/cm/Slicer-superbuild/python-prefix/src/python-stamp/python-update-*.log

[ 63%] Performing configure step for 'python'
-- SRC_DIR: /tmp/cm/Slicer-superbuild/python-build/../Python-2.7.3
-- The system name is Darwin
-- The system version is 12.3.0
-- Looking for CMake command configure_package_config_file
-- Looking for CMake command configure_package_config_file - found
-- Looking for CMake command write_basic_package_version_file
-- Looking for CMake command write_basic_package_version_file - found
-- ptmx: //dev/ptmx ptc: HAVE_DEV_PTC-NOTFOUND
-- Checking for XOPEN_SOURCE
-- Checking for XOPEN_SOURCE - no
-- Checking for Large File Support
-- Checking for Large File Support - yes
-- Using unsigned short for unicode
--
-- The following extensions will NOT be built:
--
-- crypt (not set: HAVE_LIBCRYPT)
-- nis (not set: HAVE_LIBNSL)
-- spwd (not set: HAVE_GETSPNAM HAVE_GETSPENT)
-- linuxaudiodev (not set: LINUX)
-- ossaudiodev (not set: LINUX)
-- _msi (not set: WIN32)
-- msvcrt (not set: MSVC)
-- nt (not set: WIN32)
-- _subprocess (not set: WIN32)
-- _winreg (not set: WIN32)
-- _bsddb (not set: DB_INCLUDE_PATH DB_LIBRARIES)
-- bz2 (not set: BZIP2_LIBRARIES)
-- _curses_panel (not set: CURSES_LIBRARIES)
-- _curses (not set: CURSES_LIBRARIES)
-- dbm (not set: GDBM_INCLUDE_PATH GDBM_LIBRARY GDBM_COMPAT_LIBRARY)
-- gdbm (not set: GDBM_INCLUDE_PATH GDBM_LIBRARY GDBM_COMPAT_LIBRARY)
-- _hashlib (not set: OPENSSL_INCLUDE_DIR OPENSSL_LIBRARIES)
-- readline (not set: READLINE_INCLUDE_PATH READLINE_LIBRARY CURSES_LIBRARIES)
-- _sqlite3 (not set: SQLITE3_INCLUDE_PATH SQLITE3_LIBRARY)
-- _ssl (not set: OPENSSL_INCLUDE_DIR OPENSSL_LIBRARIES)
-- zlib (not set: ZLIB_LIBRARIES)
--
-- Configuring done
-- Generating done
-- Build files have been written to: /tmp/cm/Slicer-superbuild/python-build
[ 65%] Performing build step for 'python'
[ 0%] Built target extension_array
[ 1%] Built target extension_audioop

Just updated the topic: https://github.com/jcfr/Slicer/compare/build-python-with-zlib

with commit 68c75b0be0982c8b742ffe56e8331fd5ce81ce45

It looks like the same result.

Script started on Fri Apr 5 18:11:51 2013
bash: __git_ps1: command not found
[?1034h
#1 Slicer-superbuild $ make python
-- Building Slicer version [4.2.0]
-- Configuring Slicer with Qt 4.8.3 (using modules: CORE, GUI, NETWORK, UITOOLS, XML, WEBKIT, SVG, SQL, SCRIPT, )
-- SuperBuild - Slicer => Requires cmcurl, teem, VTK, ITKv4, CTK, jqPlot, LibArchive, SimpleITK, qMidasAPI, DCMTK, CTKAPPLAUNCHER, python, NUMPY, incrTcl, MultiVolumeExplorer, MultiVolumeImporter,
-- SuperBuild - cmcurl[OK]
-- SuperBuild - teem => Requires VTK,
-- SuperBuild - VTK => Requires python,
-- SuperBuild - python => Requires CTKAPPLAUNCHER, tcl, tk,
-- SuperBuild - CTKAPPLAUNCHER[OK]
-- SuperBuild - tcl[OK]
-- SuperBuild - tk => Requires tcl[INCLUDED],
-- SuperBuild - tk[OK]
-- SuperBuild - python[OK]
-- TCL_LIBRARY:/tmp/cm/Slicer-superbuild/tcl-build/lib/libtcl8.4.dylib
-- TK_LIBRARY:/tmp/cm/Slicer-superbuild/tcl-build/lib/libtk8.4.dylib
-- slicer_PYTHON_INCLUDE:/tmp/cm/Slicer-superbuild/python-install/include/python2.7
-- slicer_PYTHON_LIBRARY:/tmp/cm/Slicer-superbuild/python-install/lib/libpython2.7.dylib
-- slicer_PYTHON_EXECUTABLE:/tmp/cm/Slicer-superbuild/python-install/bin/customPython
-- SuperBuild - VTK[OK]
-- SuperBuild - teem[OK]
-- SuperBuild - ITKv4 => Requires DCMTK,
-- SuperBuild - DCMTK[OK]
-- SuperBuild - ITKv4[OK]
-- SuperBuild - CTK => Requires VTK[INCLUDED], ITKv4[INCLUDED], python[INCLUDED], DCMTK[INCLUDED],
-- SuperBuild - CTK[OK]
-- SuperBuild - jqPlot[OK]
-- SuperBuild - LibArchive[OK]
-- SuperBuild - SimpleITK => Requires ITKv4[INCLUDED], Swig, python[INCLUDED],
-- SuperBuild - Swig => Requires PCRE,
-- SuperBuild - PCRE[OK]
-- SuperBuild - Swig[OK]
-- SuperBuild - SimpleITK[OK]
-- SuperBuild - qMidasAPI[OK]
-- SuperBuild - NUMPY => Requires python[INCLUDED],
-- SuperBuild - NUMPY[OK]
-- SuperBuild - NUMPY[OK] - Building without Fortran compiler - Non-optimized code will be built !
-- SuperBuild - incrTcl => Requires tcl[INCLUDED], tk[INCLUDED],
-- SuperBuild - incrTcl[OK]
-- SuperBuild - MultiVolumeExplorer[OK]
-- SuperBuild - MultiVolumeImporter[OK]
-- SuperBuild - Slicer[OK]
-- Configuring done
-- Generating done
-- Build files have been written to: /tmp/cm/Slicer-superbuild
[ 16%] Built target python-source
[ 36%] Built target tcl
[ 52%] Built target CTKAPPLAUNCHER
[ 76%] Built target tk
[ 80%] Performing update step for 'python'
-- python update command succeeded. See also /tmp/cm/Slicer-superbuild/python-prefix/src/python-stamp/python-update-*.log

[ 84%] Performing configure step for 'python'
-- SRC_DIR: /tmp/cm/Slicer-superbuild/python-build/../Python-2.7.3
-- The system name is Darwin
-- The system version is 12.3.0
-- Looking for CMake command configure_package_config_file
-- Looking for CMake command configure_package_config_file - found
-- Looking for CMake command write_basic_package_version_file
-- Looking for CMake command write_basic_package_version_file - found
-- ptmx: //dev/ptmx ptc: HAVE_DEV_PTC-NOTFOUND
-- Checking for XOPEN_SOURCE
-- Checking for XOPEN_SOURCE - no
-- Checking for Large File Support
-- Checking for Large File Support - yes
-- Using unsigned short for unicode
--
-- The following extensions will NOT be built:
--
-- crypt (not set: HAVE_LIBCRYPT)
-- nis (not set: HAVE_LIBNSL)
-- spwd (not set: HAVE_GETSPNAM HAVE_GETSPENT)
-- linuxaudiodev (not set: LINUX)
-- ossaudiodev (not set: LINUX)
-- _msi (not set: WIN32)
-- msvcrt (not set: MSVC)
-- nt (not set: WIN32)
-- _subprocess (not set: WIN32)
-- _winreg (not set: WIN32)
-- _bsddb (not set: DB_INCLUDE_PATH DB_LIBRARIES)
-- bz2 (not set: BZIP2_LIBRARIES)
-- _curses_panel (not set: CURSES_LIBRARIES)
-- _curses (not set: CURSES_LIBRARIES)
-- dbm (not set: GDBM_INCLUDE_PATH GDBM_LIBRARY GDBM_COMPAT_LIBRARY)
-- gdbm (not set: GDBM_INCLUDE_PATH GDBM_LIBRARY GDBM_COMPAT_LIBRARY)
-- _hashlib (not set: OPENSSL_INCLUDE_DIR OPENSSL_LIBRARIES)
-- readline (not set: READLINE_INCLUDE_PATH READLINE_LIBRARY CURSES_LIBRARIES)
-- _sqlite3 (not set: SQLITE3_INCLUDE_PATH SQLITE3_LIBRARY)
-- _ssl (not set: OPENSSL_INCLUDE_DIR OPENSSL_LIBRARIES)
-- zlib (not set: ZLIB_LIBRARIES)
--
-- Configuring done
-- Generating done
-- Build files have been written to: /tmp/cm/Slicer-superbuild/python-build
[ 88%] Performing build step for 'python'
[ 0%] Built target extension_array
[ 1%] Built target extension_audioop
[ 1%] Built target extension_binascii
[ 2%] Built target extension_bisect

Tried again with a fresh build tree and it looks like it worked this time - nice!

Good news. I tweaked the topic to have a more robust way of setting option. See https://github.com/jcfr/Slicer/compare/build-python-with-zlib