tl;dr: Use HDF5
BCOLZ <http://bcolz.blosc.org/en/latest/>_ : not designed for multidimentional data.
Zarr <https://github.com/alimanfoo/zarr>_ : works with multidimensional data and also parallel computating.
Blaze ecosystem <http://blaze.pydata.org/>_
A article that compares HDF5, BCOLZ, and Zarr: To HDF5 and beyond
I also recommend pandas. It is a python module that works very well with data. It even loads HDF5 out of box.