There are 2 solutions for this trouble:
option 1. install bzip2-devel
On Debian and derivatives, you can install easily like this:
sudo apt-get install bzip2-devel
option 2. build and install bzip2
In the README file of bzip2 package, it is explained that under certain platforms, namely those which employ Linux-ELF binaries, you have to build an additional shared object file like shown below:
wget http://bzip.org/1.0.6/bzip2-1.0.6.tar.gz
tar xpzf bzip2-1.0.6.tar.gz
cd bzip2-1.0.6
make
make -f Makefile-libbz2_so
make install PREFIX=/path/to/local # /usr/local by default
The critical bit here is the following command:
make -f Makefile-libbz2_so
I've done this and after that tried to build Python again, like shown below:
cd Python-2.7.3
./configure --prefix=/path/to/local
make install