Is there a difference between the two? I assumed that without the "with", the file would still be closed once the loop was exited (and thus the reference to the file is dropped), but I'm open to the possibility that I'm mistaken.
In CPython, since reference counting is used for GC, this occurs when the loop exits. However, other implementations (e.g. PyPy) may use different schemes that do not guarantee collection as soon as objects go out of scope. As an extreme, a valid and occasionally useful GC strategy is to never collect anything at all [0]!
Hence, if you want to portably ensure the file is closed, you should either use the context manager or call close() explicitly.
[0] http://blogs.msdn.com/b/oldnewthing/archive/2010/08/09/10047...