Some Options for Python:
- Multiplatform (Win/Linux/Mac): PyInstaller
- Multiplatform (Win/Linux/Max): cx-freeze
- Windows: py2exe
- Mac: py2app
The bad news is that, as far as I can tell, you can't create binaries for a platform from another platform. The reason seems to be dependencies on platform-specific libraries.
Edit: By the way, you might be interested in looking at this comparison table. The guy was using pyglet too.