Tools for distributing Python software:
[http://www.mcmillan-inc.com/installer_dnld.html McMillan's Installer]
[http://www.jrsoftware.org/isinfo.php Inno Setup] - use to wrap up the output of the above into a Windows exe
[http://py2exe.sourceforge.net/ py2exe]
MacPython BundleBuilder (Mac OS X)
Also see:
[http://www.mcmillan-inc.com/install1.html McMillan's page] about (other) distributing solutions.
Thinki's PythonInstallers.