Develop Python on Linux, deploy on Windows.
Uses Pyinstaller and Wine to "freeze" Python programs to a standalone Windows executable, all from your Linux box.
To quickly build your Wine environment, then create a standalone EXE, run the following commands:
$ wget "http://www.python.org/ftp/python/2.7.3/python-2.7.3.msi"
$ wget "http://downloads.sourceforge.net/project/pywin32/pywin32/Build%20218/pywin32-218.win32-py2.7.exe?r=http%3A%2F%2Fsourceforge.net%2Fprojects%2Fpywin32%2Ffiles%2Fpywin32%2FBuild%2520218%2F&ts=1359740579&use_mirror=netcologne"
$ build_environment/create.sh
$ export WINEPREFIX=/tmp/path-outputted-from-create
$ wine start python-2.7.3.msi
$ wine pywin32-218.win32-py2.7.exe
$ build_environment/freeze.sh
$ ./package sample-application/src/main.py MySampleProgram
This will create a Wine environment in a tarball at ./build_environment/wine.tar.gz.
If you want to use a different Python version or add additional Python modules, just do the above with different Windows Python installers.