Is there a way to put comments in multiline code?

Do it like that:

a, b, c, d = range(1, 5)

result = (
    # First is 1
    a *
    # Then goes 2, result is 2 now
    b *
    # And then 3, result is 6
    c *
    # And 4, result should be 24
    d
)

Actually, according to PEP8 parentheses are preferred over slashes, when breaking something into multiple lines:

The preferred way of wrapping long lines is by using Python’s implied line continuation inside parentheses, brackets and braces. Long lines can be broken over multiple lines by wrapping expressions in parentheses. These should be used in preference to using a backslash for line continuation.

In your case it also allows to put comments.

Here is a proof, that it works: http://ideone.com/FlccUJ