gistfile1.py

#!/usr/bin/python

import glob
import os

no = 1 # 連番の最初の数字

files = glob.glob('*.jpg')
for file in files:
    file = './' + file
    new_file = '{0:04}'.format(no) + '.jpg'
    print './' + file + ' -> ' + new_file
    os.rename(file, new_file)
    no = no + 1