If you're using numpy for your arrays, you can also use
x = x[numpy.logical_not(numpy.isnan(x))]
x = x[~numpy.isnan(x)]
[Thanks to chbrown for the added shorthand]
The inner function,
numpy.isnan returns a boolean/logical array which has the value
True everywhere that
x is not-a-number. As we want the opposite, we use the logical-not operator,
~ to get an array with
Trues everywhere that
x is a valid number.
Lastly we use this logical array to index into the original array
x, to retrieve just the non-NaN values.