There are four ways to build an iterative function:
Examples:
# generator
def uc_gen(text):
    for char in text.upper():
        yield char
# generator expression
def uc_genexp(text):
    return (char for char in text.upper())
# iterator protocol
class uc_iter():
    def __init__(self, text):
        self.text = text.upper()
        self.index = 0
    def __iter__(self):
        return self
    def __next__(self):
        try:
            result = self.text[self.index]
        except IndexError:
            raise StopIteration
        self.index += 1
        return result
# getitem method
class uc_getitem():
    def __init__(self, text):
        self.text = text.upper()
    def __getitem__(self, index):
        return self.text[index]
To see all four methods in action:
for iterator in uc_gen, uc_genexp, uc_iter, uc_getitem:
    for ch in iterator('abcde'):
        print(ch, end=' ')
    print()
Which results in:
A B C D E
A B C D E
A B C D E
A B C D E
Note:
The two generator types (uc_gen and uc_genexp) cannot be reversed(); the plain iterator (uc_iter) would need the __reversed__ magic method (which, according to the docs, must return a new iterator, but returning self works (at least in CPython)); and the getitem iteratable (uc_getitem) must have the __len__ magic method:
    # for uc_iter we add __reversed__ and update __next__
    def __reversed__(self):
        self.index = -1
        return self
    def __next__(self):
        try:
            result = self.text[self.index]
        except IndexError:
            raise StopIteration
        self.index += -1 if self.index < 0 else +1
        return result
    # for uc_getitem
    def __len__(self)
        return len(self.text)
To answer Colonel Panic's secondary question about an infinite lazily evaluated iterator, here are those examples, using each of the four methods above:
# generator
def even_gen():
    result = 0
    while True:
        yield result
        result += 2
# generator expression
def even_genexp():
    return (num for num in even_gen())  # or even_iter or even_getitem
                                        # not much value under these circumstances
# iterator protocol
class even_iter():
    def __init__(self):
        self.value = 0
    def __iter__(self):
        return self
    def __next__(self):
        next_value = self.value
        self.value += 2
        return next_value
# getitem method
class even_getitem():
    def __getitem__(self, index):
        return index * 2
import random
for iterator in even_gen, even_genexp, even_iter, even_getitem:
    limit = random.randint(15, 30)
    count = 0
    for even in iterator():
        print even,
        count += 1
        if count >= limit:
            break
    print
Which results in (at least for my sample run):
0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38 40 42 44 46 48 50 52 54
0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38
0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32
How to choose which one to use?  This is mostly a matter of taste.  The two methods I see most often are generators and the iterator protocol, as well as a hybrid (__iter__ returning a generator).
Generator expressions are useful for replacing list comprehensions (they are lazy and so can save on resources).
If one needs compatibility with earlier Python 2.x versions use __getitem__.