You can use itertools.groupby for that. This assumes that the input is sorted, as in your example.
from itertools import groupby
lst = ['A_1', 'A_2', 'A_3', 'A_4', 'B_1', 'B_2', 'C_1', 'C_2', 'C_3']
output = [list(g) for _, g in groupby(lst, key=lambda x: x[0])]
print(output) # [['A_1', 'A_2', 'A_3', 'A_4'], ['B_1', 'B_2'], ['C_1', 'C_2', 'C_3']]
If for some reason you don't want to use import but only use built-ins,
lst = ['A_1', 'A_2', 'A_3', 'A_4', 'B_1', 'B_2', 'C_1', 'C_2', 'C_3']
output = {}
for x in lst:
if x[0] in output:
output[x[0]].append(x)
else:
output[x[0]] = [x]
print(list(output.values()))
Note that with an input list of ['A_1', 'B_1', 'A_2'] the two approaches will result in different outputs.
['A_1', 'B_1', 'A_2']?