Your code actually is valid Python if you remove two characters, the comma and the colon.
>>> gender= "male"
>>> print "At least, that's what %s told me." %("he" if gender == "male" else "she")
At least, that's what he told me.
More modern style uses .format
, though:
>>> s = "At least, that's what {pronoun} told me.".format(pronoun="he" if gender == "male" else "she")
>>> s
"At least, that's what he told me."
where the argument to format can be a dict
you build in whatever complexity you like.