cx_Freeze is a set of scripts and modules for freezing Python scripts into executables in much the same way that py2exe and py2app do. Unlike these two tools, cx_Freeze is cross platform and should work on any platform that Python itself works on. It requires Python 2.3 or higher since it makes use of the zip import facility which was introduced in that version.
NOTE: Binary packages must be compatible with the Python installation on your system or you will get errors in your frozen executables about missing builtin modules or missing symbols. This is not likely to be a problem on Windows (since www.python.org is the only known distributor) but on Linux it is more likely (since Python is often packaged with the Linux distribution in different ways). If you get such errors, download the source package and build the binaries yourself.
Available for Linux and Windows.