I'm an author of a pure Python library that aims to be also convenient to use from a command line. For Windows users it would be nice just installing the package from an .exe or .msi package.
However I cannot get the installer to install package dependencies (especially the dependency on setuptools itself, so that running the software fails with an import error on pkg_resources). I don't believe that providing an easy .exe installer makes much sense, if the user then needs to manually install setuptools and other libraries on top. I'd rather tell them how to add easy_install to their PATH and go through this way (http://stackoverflow.com/questions/1449494/how-do-i-install-python-packages-on-windows).
I've build .exe packages in the past, but don't remember if that ever worked the way I'd preferred it to.