Since Pygments 0.9, the distribution ships Markdown preprocessor sample code that uses Pygments to render source code in external/markdown-processor.py. You can copy and adapt it to your liking.
Antonio Cangiano has created a Pygments bundle for TextMate that allows to colorize code via a simple menu option. It can be found here.
The source distribution contains a file external/pygments.bashcomp that sets up completion for the pygmentize command in bash.
These libraries provide Pygments highlighting for users of other languages than Python: