The Nullsoft Scriptable Install System NSIS (originally used for winamp) creates really nice installers for windows, and it's very powerful. It has a compiler that runs under linux, but the resulting installer is windows-only, unfortunately.
It's pretty heavy-weight, but worth keeping in mind if you might have to do any vaguely complex or non-standard things during installation.
I have used it since it integrates nicely with my (linux) build system, and I'd want to use packages for installing on linux anyway.
