The Arduino Yún doesn’t come with SSL support, which means no pip and no Python packages. Myself, Adam and Xuedi lost about a day of work last semester trying to find the fix for this, until Google-master Brett saved the day by finding us this link. Clearly these instructions need spreading around the internet, so here they are.
SSH into your Yún and issue the following commands:
opkg install distribute
opkg install python-openssl
opkg install python-bzip2
Then you can use
pip install to install whatever packages you need.
Update, 2015-01-02: python-ssl seems to have been replaced (or superseded? I’m not exactly sure) by python-openssl. I updated the code above to reflect this change.