I don't have experience with some of the other packages mentioned before but since these users are probably more experienced than I, I would definitely investigate those options. Personally, I had used py2exe before and had some difficulties, namely that not all of the dependencies got picked up properly. I was in a pinch and came across the McMillan installer. The documentation is a little fuzzy in spots but I was able to get it all working fairly quickly and the .exe ran without a hitch - all dependencies were properly located. If the other options don't work out for you I would recommend McMillan.
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