Brute force
A well known and fast way to generate primes is the Sieve of Eratosthenes. The only problem is that we need an upper bound, which is not the case here since we don't know the size of the 10001st prime.
We will have to test the primality of each number, if it is prime, then we store it, otherwise we continue with the next number until the list of prime numbers that we stored contains 10001 elements. The last one being the answer.
To determine the primality of a number, we can check if one of the preceding primes can divide it, if not, the number is prime.
Since even number can not be prime, we can go two by two just like the Two by Two solution of Problem 3: Largest prime factor.
From solution1.py:
def n_th_prime(n=10001):
i = 3
primes = [2]
while len(primes) < n:
if all(i % p != 0 for p in primes): # No divisor in the previous prime.
primes.append(i)
i += 2
return primes[-1]