It is possible to have the py2exe byte-code in a crypted resource for a C launcher that loads and executes it in memory. Some ideas here and here.
Some have also thought of a self modifying program to make reverse engineering expensive.
You can also find tutorials for preventing debuggers, make the disassembler fail, set false debugger breakpoints and protect your code with checksums. Search for ["crypted code" execute "in memory"] for more links.
But as others already said, if your code is worth it, reverse engineers will succeed in the end.