Python works on multiple platforms and can be used for desktop and web applications, thus I conclude that there is some way to compile it into an executable for Mac, Windows
Another system (not mentioned in the accepted answer yet) is PyInstaller, which worked for a PyQt project of mine when py2exe would not. I found it easier to use.
http://www.pyinstaller.org/
Pyinstaller is based on Gordon McMillan's Python Installer. Which is no longer available.