To simplify Darren's link, here is the code sample on creating a polygon:
import arcpy
# A list of features and coordinate pairs
feature_info = [[[1, 2], [2, 4], [3, 7]],
[[6, 8], [5, 7], [7, 2], [9, 5]]]
# A list that will hold each of the Polygon objects
features = []
for feature in feature_info:
# Create a Polygon object based on the array of points
# Append to the list of Polygon objects
features.append(
arcpy.Polygon(
arcpy.Array([arcpy.Point(*coords) for coords in feature])))
# Persist a copy of the Polyline objects using CopyFeatures
arcpy.CopyFeatures_management(features, "c:/geometry/polygons.shp")