If you can install the latest Python (2.7.9 and up) Pip is now bundled with it.
See: https://docs.python.org/2.7//installing/index.html
If not :
Update (from the release notes):
Beginning with v1.5.1, pip does not require setuptools prior to running get-pip.py. Additionally, if setuptools (or distribute) is not already installed, get-pip.py will install setuptools for you.
I now run the regular:
curl --silent --show-error --retry 5 https://bootstrap.pypa.io/get-pip.py | sudo python
Here are the official installation instructions:
http://pip.readthedocs.org/en/latest/installing.html#install-pip
EDIT 25-Jul-2013:
Changed URL for setuptools install.
EDIT 10-Feb-2014:
Removed setuptools install (thanks @Ciantic)
EDIT 26-Jun-2014:
Updated URL again (thanks @LarsH)
EDIT 1-Mar-2015:
Pip is now bundled with Python