Iterating over strings is unfortunately rather slow in Python. Regular expressions are over an order of magnitude faster for this kind of thing. You just have to build the character class yourself. The unicodedata module is quite helpful for this, especially the unicodedata.category() function. See Unicode Character Database for descriptions of the categories.
import unicodedata, re
all_chars = (unichr(i) for i in xrange(0x110000))
control_chars = ''.join(c for c in all_chars if unicodedata.category(c) == 'Cc')
# or equivalently and much more efficiently
control_chars = ''.join(map(unichr, range(0,32) + range(127,160)))
control_char_re = re.compile('[%s]' % re.escape(control_chars))
return control_char_re.sub('', s)