As another data point, I have an installer for windows which I made by writing my app in python, then using py2exe to make a windows executable out of it and then using the nullsoft installer to make an installer out of that. Kind of a rube goldberg contraption, but it works quite well.
http://starship.python.net/crew/theller/py2exe/ http://www.nullsoft.com/free/nsis/ -Bram Cohen
