If it is important that you have two different lists, and those lists are both in the same order (first element of party member list corresponds with first element of hp list) then you can zip the two lists and iterate over them both simultaneously.
If you want to modify the elements of the list, however, then you can enumerate them, allowing you to keep track of the index as you loop over the two lists, and then modify the lists by index in the loop.
for i, (member, hp) in enumerate(zip(members, hitpoints)):
print(member, hp)
if member == 'Bob':
hitpoints[i] -= 10
However, I would recommend making a dict, a different data structure than using two lists, but much more elegant to use.
>>> members = ['A', 'B', 'C']
>>> hp = [5, 10, 7]
>>> member_hp = dict(zip(members, hp))
>>> member_hp['A']
5
>>> member_hp['A'] -= 3
>>> member_hp['A']
2
>>> member_hp['D'] = 20 # adds new member D with hp of 20
For slightly (and I mean only very slightly) more advanced usage, you can use the json module to read and write this data to a text file, to persist across multiple sessions.