from matplotlib import pyplot as plt
import numpy as np

def handler(event):
    # -- find closest point to where the mouse click occured
    d = (event.xdata-X)**2 + (event.ydata-Y)**2
    i = d.argmin()
    # -- re-plot data
    a.plot(X, Y, '.b-')
    # -- plot closest point as yellow star
    a.plot(X[i], Y[i], '*y', markersize=20)
    # -- update plot
    plt.draw()
    return

# -- fake data:
X, Y = np.arange(10), np.random.rand(10)
# -- create figure and axe
plt.close('all')
f = plt.figure()
a = f.add_subplot(111)
# -- add "handler" to the figure
f.canvas.mpl_connect('button_press_event', handler)
# -- initial plot
a.plot(X, Y, '.b-')