How about:
conn = MySQLdb.connect(host, user, password, database)
cursor = conn.cursor()
attempts = 0
while attempts < 3:
try:
cursor.execute(query)
rows = cursor.fetchall()
for row in rows:
# do something with the data
break
except MySQLdb.Error, e:
attempts += 1
print "MySQL Error %d: %s" % (e.args[0], e.args[1])