They are same, but which one should I use?
http://docs.python.org/library/os.html:
os.sep
The character used by the operating system to separate pathname components. This is '/' for POSIX and '\' for Windows. Note that knowing this is not sufficient to be able to parse or concatenate pathnames — use os.path.split() and os.path.join() — but it is occasionally useful. Also available via os.path.