This is what I came up with, not sure if it's really an improvement:

primes = [2, 3, 5, 7, 9, 11, 13, 17, 19, 23, 29]

for i, prime in enumerate(primes):
    if i > 0 and prime - prev_prime == 2:
        print prev_prime, prime
    prev_prime = prime

I'm still thinking about it though

EDIT: Another solution:

This will get you a list of tuples of the numbers you want, though I think the above solution is more readable

primes = [2, 3, 5, 7, 9, 11, 13, 17, 19, 23, 29]

[(i, j) for i, j in zip(primes[1:], primes) if i - j == 2]

And if you wish to print these out:

for i, j in ((i, j) for i, j in zip(primes[1:], primes) if i - j == 2):
    print(i, j)