How do I load a file into the python console?

From the man page:

-i When a script is passed as first argument or the -c option is used, enter interactive mode after executing the script or the command. It does not read the $PYTHONSTARTUP file. This can be useful to inspect global variables or a stack trace when a script raises an exception.

So this should do what you want:

python -i file.py

For Python 2 give execfile a try. (See other answers for Python 3)

execfile('file.py')

Example usage:
Let's use "copy con" to quickly create a small script file...

C:\junk>copy con execfile_example.py
a = [9, 42, 888]
b = len(a)
^Z
        1 file(s) copied.

...and then let's load this script like so:

C:\junk>\python27\python
Python 2.7.1 (r271:86832, Nov 27 2010, 18:30:46) [MSC v.1500 32 bit (Intel)] on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> execfile('execfile_example.py')
>>> a
[9, 42, 888]
>>> b
3
>>>

From the shell command line:

python file.py

From the Python command line

import file

or

from file import *

You can just use an import statement:

from file import *

So, for example, if you had a file named my_script.py you'd load it like so:

from my_script import *