As there's no builtin, I made a nice version:
import itertools as it
def contains(seq, sub):
    seq = iter(seq)
    o = object()
    return any(all(i==j for i,j in zip(sub, it.chain((n,),seq, 
                                      (o for i in it.count())))) for n in seq)
This do not require any extra lists (if you use it.izip or Py3k).
>>> contains([1,2,3], [1,2])
True
>>> contains([1,2,3], [1,2,3])
True
>>> contains([1,2,3], [2,3])
True
>>> contains([1,2,3], [2,3,4])
False
Extra points if you have no trouble reading it. (It does the job, but the implementation is not to be taked too seriously). ;)