While Matplotlib likes to follow a "batteries included" philosophy for all things related to plotting, there are times when a desired feature just doesn't generalize well enough for it to be a standard feature. Alternatively, a feature may require other specialty packages that do not make sense to have as a dependency for Matplotlib. For these situations, there is a growing library of packages that provide additional interactive features on top of your standard Matplotlib application.
The mpldatacursor package (https://pypi.python.org/pypi/mpldatacursor) provides a number of useful interactive tools, primarily focusing on making it very easy to annotate a plot. To use this tool, create your plots as normal. Then you can add a data cursor to one or more Axes object (and can optionally specify which Artist objects the cursor is valid for). Then, click on something in your plot and an annotation will appear, describing what you clicked on.