prova così:

codice:
def scelta():
    while 1:
        try:
            print """
1] Conversione Celsius in Fahrenheit
2] Conversione Fahrenheit in Celsius"""
            inp = int(raw_input("Scegli la tua opzione: "))
            if inp <= 2:
                return inp
        except ValueError:
            pass
    
def celtofa():
    celsius = "undef"
    while celsius == "undef":
        celsius = input("Digita i gradi Celsius:\n")
    cel = (celsius * 9) / 5 + 32
    print "%s gradi celsius corrispondono a %s gradi farhenheit" %(celsius,cel)
 
def fatocel():
    fahr  = "undef"
    while fahr == "undef":
        fahr = input("Digita i gradi Farhenheit:\n")
    fa = ((fahr - 32) /9) * 5
    print "%s gradi fahrenheit corrispondono a %s gradi celsius" %(fahr,fa)

exit = 0
while 1:
    choose = scelta()
    if choose == 1:
        celtofa()
    elif choose == 2:
        fatocel()
    print """
1] Continua
2] Esci
    """
    if int(raw_input("")) == 2:
        break