I've used py2exe for making exe application. Initially there were some issues like required data files were left out. And some python modules were not automatically included, for which I've used 'includes' option of py2exe. After initial package the look&feel of  app was like a old MFC application, solution was to include correct manifest file. Once the exe was made I've used Inno setup for creating a setup file.  ( wxPython is used to build GUI )

Also there were some issues in using wxreactor. On windows if I call reactor.stop() to close the application it works perfectly. But on linux it hangs forever, work around was to call sys.exit()

You can use GUI2Exe which will give a easy start for packaging python applications.

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