For creating executables from python scripts,
http://www.pyinstaller.org/. So far I've only tested with a 2-line "hello world"...
In order to get it to work, I had to copy the contents of the lib folder from a standard distribution of Python to a location on sys.path before Movable Python's library.zip. PyInstaller is hard-coded in multiple places to look for .py files, which aren't present in library.zip.
Also, every time you move it to a new location, the Configure.py script has to be re-run, as it uses absolute paths. Shouldn't be hard to fix that, though.