Pickle or json?
I prefer JSON over pickle for my serialization. Unpickling can run arbitrary code, and using pickle to transfer data between programs or store data between sessions is a security hole. JSON does not introduce a security hole and is standardized, so the data can be accessed by programs in different languages if you ever need to.
If you do not have any interoperability requirements (e.g. you are just going to use the data with Python) and a binary format is fine, go with cPickle which gives you really fast Python object serialization.
If you want interoperability or you want a text format to store your data, go with JSON (or some other appropriate format depending on your constraints).
You might also find this interesting, with some charts to compare: http://kovshenin.com/archives/pickle-vs-json-which-is-faster/