I am surprised I could not find this question already asked, so if I simply missed it please notify promptly.
I need to write a very small, fairly simple application in .
What you want is InstallAnywhere. It allows you to target multiple platforms with one installer project. It will help with dependencies and platform specific issues.
I've used it on LINUX/BSD/Windows deployment, and it worked beautifully. If you had X-windows, you got a GUI, if not a command line install. Windows installer worked with standard windows installer tech, and looked like a professional installer. It supports mac OS X as well. I highly recommend this software it does exactly what you want.