Constructing a new dict:
dict_you_want = { your_key: old_dict[your_key] for your_key in your_keys }
Uses dictionary comprehension.
If you use a version which lacks them (ie Python 2.6 and earlier), make it dict((your_key, old_dict[your_key]) for ...). It’s the same, though uglier.
Note that this, unlike jnnnnn’s version, has stable performance (depends only on number of your_keys) for old_dicts of any size. Both in terms of speed and memory. Since this is a generator expression, it processes one item at a time, and it doesn’t looks through all items of old_dict.
Removing everything in-place:
unwanted = set(keys) - set(your_dict)
for unwanted_key in unwanted: del your_dict[unwanted_key]