__all__ is a special variable that is used to include all the modules in a packages. When you write from import * statement, all the modules listed in __init__.py and all the values in __all__ gets imported. This is a shortform of importing all the modules of a package, othereise you will have to type "import module_name1", "import module_name2", .... for each of the module.
Any folder say p1 containing __init__.py makes it package.
for example, if a folder f1 has the modules m1.py, m2.py and m3,py
then, __init__.py can have __all__ = ['m1','m2','m3']. If you from p1 import * , then all the modules m1,m2,m3 can be imported. Also you can import them individually.
NOTE : But if you write just import p1, and you only wrote __all__ = ['m1', 'm2'], then no modules will be imported.