There is a built-in method which is the most performant:

my_dataframe.columns.values.tolist()

.columns returns an Index, .columns.values returns an array and this has a helper function .tolist to return a list.

If performance is not as important to you, Index objects define a .tolist() method that you can call directly:

my_dataframe.columns.tolist()

The difference in performance is obvious:

%timeit df.columns.tolist()
16.7 µs ± 317 ns per loop (mean ± std. dev. of 7 runs, 100000 loops each)

%timeit df.columns.values.tolist()
1.24 µs ± 12.3 ns per loop (mean ± std. dev. of 7 runs, 1000000 loops each)

For those who hate typing, you can just call list on df, as so:

list(df)

I did some quick tests, and perhaps unsurprisingly the built-in version using dataframe.columns.values.tolist() is the fastest:

In [1]: %timeit [column for column in df]
1000 loops, best of 3: 81.6 µs per loop

In [2]: %timeit df.columns.values.tolist()
10000 loops, best of 3: 16.1 µs per loop

In [3]: %timeit list(df)
10000 loops, best of 3: 44.9 µs per loop

In [4]: % timeit list(df.columns.values)
10000 loops, best of 3: 38.4 µs per loop

(I still really like the list(dataframe) though, so thanks EdChum!)

It gets even simpler (by Pandas 0.16.0):

df.columns.tolist()

will give you the column names in a nice list.

Extended Iterable Unpacking (Python 3.5+): [*df] and Friends

Unpacking generalizations (PEP 448) have been introduced with Python 3.5. So, the following operations are all possible.

df = pd.DataFrame('x', columns=['A', 'B', 'C'], index=range(5))
df

   A  B  C
0  x  x  x
1  x  x  x
2  x  x  x
3  x  x  x
4  x  x  x

If you want a list....

[*df]
# ['A', 'B', 'C']

Or, if you want a set,

{*df}
# {'A', 'B', 'C'}

Or, if you want a tuple,

*df,  # Please note the trailing comma
# ('A', 'B', 'C')

Or, if you want to store the result somewhere,

*cols, = df  # A wild comma appears, again
cols
# ['A', 'B', 'C']

... if you're the kind of person who converts coffee to typing sounds, well, this is going consume your coffee more efficiently ;)

P.S.: if performance is important, you will want to ditch the solutions above in favour of

df.columns.to_numpy().tolist()
# ['A', 'B', 'C']

This is similar to Ed Chum's answer, but updated for v0.24 where .to_numpy() is preferred to the use of .values. See this answer (by me) for more information.

Visual Check

Since I've seen this discussed in other answers, you can use iterable unpacking (no need for explicit loops).

print(*df)
A B C

print(*df, sep='\n')
A
B
C

Critique of Other Methods

Don't use an explicit for loop for an operation that can be done in a single line (list comprehensions are okay).

Next, using sorted(df) does not preserve the original order of the columns. For that, you should use list(df) instead.

Next, list(df.columns) and list(df.columns.values) are poor suggestions (as of the current version, v0.24). Both Index (returned from df.columns) and NumPy arrays (returned by df.columns.values) define .tolist() method which is faster and more idiomatic.

Lastly, listification i.e., list(df) should only be used as a concise alternative to the aforementioned methods for Python 3.4 or earlier where extended unpacking is not available.

>>> list(my_dataframe)
['y', 'gdp', 'cap']

To list the columns of a dataframe while in debugger mode, use a list comprehension:

>>> [c for c in my_dataframe]
['y', 'gdp', 'cap']

By the way, you can get a sorted list simply by using sorted:

>>> sorted(my_dataframe)
['cap', 'gdp', 'y']

That's available as my_dataframe.columns.

A DataFrame follows the dict-like convention of iterating over the “keys” of the objects.

my_dataframe.keys()

Create a list of keys/columns - object method to_list() and the Pythonic way:

my_dataframe.keys().to_list()
list(my_dataframe.keys())

Basic iteration on a DataFrame returns column labels:

[column for column in my_dataframe]

Do not convert a DataFrame into a list, just to get the column labels. Do not stop thinking while looking for convenient code samples.

xlarge = pd.DataFrame(np.arange(100000000).reshape(10000,10000))
list(xlarge) # Compute time and memory consumption depend on dataframe size - O(N)
list(xlarge.keys()) # Constant time operation - O(1)

It's interesting, but df.columns.values.tolist() is almost three times faster than df.columns.tolist(), but I thought that they were the same:

In [97]: %timeit df.columns.values.tolist()
100000 loops, best of 3: 2.97 µs per loop

In [98]: %timeit df.columns.tolist()
10000 loops, best of 3: 9.67 µs per loop

In the Notebook

For data exploration in the IPython notebook, my preferred way is this:

sorted(df)

Which will produce an easy to read alphabetically ordered list.