Couple of solutions I found to be helpful while looking this up, especially for larger data sets:
df[(df.sum(axis=1) != 0)]       # 30% faster 
df[df.values.sum(axis=1) != 0]  # 3X faster 
Continuing with the example from @U2EF1:
In [88]: df = pd.DataFrame({'a':[0,0,1,1], 'b':[0,1,0,1]})
In [91]: %timeit df[(df.T != 0).any()]
1000 loops, best of 3: 686 µs per loop
In [92]: df[(df.sum(axis=1) != 0)]
Out[92]: 
   a  b
1  0  1
2  1  0
3  1  1
In [95]: %timeit df[(df.sum(axis=1) != 0)]
1000 loops, best of 3: 495 µs per loop
In [96]: %timeit df[df.values.sum(axis=1) != 0]
1000 loops, best of 3: 217 µs per loop
On a larger dataset:
In [119]: bdf = pd.DataFrame(np.random.randint(0,2,size=(10000,4)))
In [120]: %timeit bdf[(bdf.T != 0).any()]
1000 loops, best of 3: 1.63 ms per loop
In [121]: %timeit bdf[(bdf.sum(axis=1) != 0)]
1000 loops, best of 3: 1.09 ms per loop
In [122]: %timeit bdf[bdf.values.sum(axis=1) != 0]
1000 loops, best of 3: 517 µs per loop