Pythonic way to combine for-loop and if-statement

You can use generator expressions like this:

gen = (x for x in xyz if x not in a)

for x in gen:
    print(x)

As per The Zen of Python (if you are wondering whether your code is "Pythonic", that's the place to go):

• Beautiful is better than ugly.
• Explicit is better than implicit.
• Simple is better than complex.
• Flat is better than nested.
• Readability counts.

The Pythonic way of getting the sorted intersection of two sets is:

>>> sorted(set(a).intersection(xyz))
[0, 4, 6, 7, 9]

Or those elements that are xyz but not in a:

>>> sorted(set(xyz).difference(a))
[12, 242]

But for a more complicated loop you may want to flatten it by iterating over a well-named generator expression and/or calling out to a well-named function. Trying to fit everything on one line is rarely "Pythonic".

Update following additional comments on your question and the accepted answer

I'm not sure what you are trying to do with enumerate, but if a is a dictionary, you probably want to use the keys, like this:

>>> a = {
...     2: 'Turtle Doves',
...     3: 'French Hens',
...     4: 'Colly Birds',
...     5: 'Gold Rings',
...     6: 'Geese-a-Laying',
...     7: 'Swans-a-Swimming',
...     8: 'Maids-a-Milking',
...     9: 'Ladies Dancing',
...     0: 'Camel Books',
... }
>>>
>>> xyz = [0, 12, 4, 6, 242, 7, 9]
>>>
>>> known_things = sorted(set(a.iterkeys()).intersection(xyz))
>>> unknown_things = sorted(set(xyz).difference(a.iterkeys()))
>>>
>>> for thing in known_things:
...     print 'I know about', a[thing]
...
I know about Camel Books
I know about Colly Birds
I know about Geese-a-Laying
I know about Swans-a-Swimming
I know about Ladies Dancing
>>> print '...but...'
...but...
>>>
>>> for thing in unknown_things:
...     print "I don't know what happened on the {0}th day of Christmas".format(thing)
...
I don't know what happened on the 12th day of Christmas
I don't know what happened on the 242th day of Christmas

I personally think this is the prettiest version:

a = [2,3,4,5,6,7,8,9,0]
xyz = [0,12,4,6,242,7,9]
for x in filter(lambda w: w in a, xyz):
  print x

Edit

if you are very keen on avoiding to use lambda you can use partial function application and use the operator module (that provides functions of most operators).

https://docs.python.org/2/library/operator.html#module-operator

from operator import contains
from functools import partial
print(list(filter(partial(contains, a), xyz)))

I would probably use:

for x in xyz: 
    if x not in a:
        print(x...)