UPDATE 2018
There is a github project https://github.com/bendichter/brokenaxes which probably is more convenient to use.
My own solution looks like (using gridspec, assuming that the units of the two y-axis should be equal):
"""
Broken axis example, where the y-axis will have a portion cut out.
"""
import matplotlib.pylab as plt
import matplotlib.gridspec as gridspec
import numpy as np
pts = np.array([ 0.015, 0.166, 0.133, 0.159, 0.041, 0.024, 0.195,
0.039, 0.161, 0.018, 0.143, 0.056, 0.125, 0.096, 0.094, 0.051,
0.043, 0.021, 0.138, 0.075, 0.109, 0.195, 0.05 , 0.074, 0.079,
0.155, 0.02 , 0.01 , 0.061, 0.008])
pts[[3,14]] += .8
ylim = [0.82, 1.0]
ylim2 = [0.0, 0.32]
ylimratio = (ylim[1]-ylim[0])/(ylim2[1]-ylim2[0]+ylim[1]-ylim[0])
ylim2ratio = (ylim2[1]-ylim2[0])/(ylim2[1]-ylim2[0]+ylim[1]-ylim[0])
gs = gridspec.GridSpec(2, 1, height_ratios=[ylimratio, ylim2ratio])
fig = plt.figure()
ax = fig.add_subplot(gs[0])
ax2 = fig.add_subplot(gs[1])
ax.plot(pts)
ax2.plot(pts)
ax.set_ylim(ylim)
ax2.set_ylim(ylim2)
plt.subplots_adjust(hspace=0.03)
ax.spines['bottom'].set_visible(False)
ax2.spines['top'].set_visible(False)
ax.xaxis.tick_top()
ax.tick_params(labeltop='off')
ax2.xaxis.tick_bottom()
ax2.set_xlabel('xlabel')
ax2.set_ylabel('ylabel')
ax2.yaxis.set_label_coords(0.05, 0.5, transform=fig.transFigure)
kwargs = dict(color="k", clip_on=False)
xlim = ax.get_xlim()
dx = .02*(xlim[1]-xlim[0])
dy = .01*(ylim[1]-ylim[0])/ylimratio
ax.plot((xlim[0]-dx,xlim[0]+dx), (ylim[0]-dy,ylim[0]+dy), **kwargs)
ax.plot((xlim[1]-dx,xlim[1]+dx), (ylim[0]-dy,ylim[0]+dy), **kwargs)
dy = .01*(ylim2[1]-ylim2[0])/ylim2ratio
ax2.plot((xlim[0]-dx,xlim[0]+dx), (ylim2[1]-dy,ylim2[1]+dy), **kwargs)
ax2.plot((xlim[1]-dx,xlim[1]+dx), (ylim2[1]-dy,ylim2[1]+dy), **kwargs)
ax.set_xlim(xlim)
ax2.set_xlim(xlim)
plt.savefig('broken_axis-mod.png')
