I'm currently thinking about a bdist_winexe command for distutils. (Is there a better name?)
This command will create a single executable file similar to those created with Wise or Installshield installers (except that you don't need to have these _commercial_ programs installed).
This exe-File consists of a C-program embedding python, appended is a zip-compatible archive of the modules to distribute, the setup.py script, as well as an ini-file "setup.ini" or something like that which contains the distribution meta-data in a format easily readable by the C-program.
This exe-File, when run, simply unpacks the archive into a temporary directory, displays a nice GUI, runs the setup.py script, and cleans up the temp-dir.
(The design is inspired by previous work: Gordons installer, squeeze and whatever)