I encountered the same problem today. Additionally I wanted a CDF for the marginals.

Code:
import matplotlib.pyplot as plt
import matplotlib.gridspec as gridspec
import numpy as np
x = np.random.beta(2,5,size=int(1e4))
y = np.random.randn(int(1e4))
fig = plt.figure(figsize=(8,8))
gs = gridspec.GridSpec(3, 3)
ax_main = plt.subplot(gs[1:3, :2])
ax_xDist = plt.subplot(gs[0, :2],sharex=ax_main)
ax_yDist = plt.subplot(gs[1:3, 2],sharey=ax_main)
ax_main.scatter(x,y,marker='.')
ax_main.set(xlabel="x data", ylabel="y data")
ax_xDist.hist(x,bins=100,align='mid')
ax_xDist.set(ylabel='count')
ax_xCumDist = ax_xDist.twinx()
ax_xCumDist.hist(x,bins=100,cumulative=True,histtype='step',density=True,color='r',align='mid')
ax_xCumDist.tick_params('y', colors='r')
ax_xCumDist.set_ylabel('cumulative',color='r')
ax_yDist.hist(y,bins=100,orientation='horizontal',align='mid')
ax_yDist.set(xlabel='count')
ax_yCumDist = ax_yDist.twiny()
ax_yCumDist.hist(y,bins=100,cumulative=True,histtype='step',density=True,color='r',align='mid',orientation='horizontal')
ax_yCumDist.tick_params('x', colors='r')
ax_yCumDist.set_xlabel('cumulative',color='r')
plt.show()
Hope it helps the next person searching for scatter-plot with marginal distribution.