To run your script from the Finder you have two options:

* Drag it to PythonLauncher
* Select PythonLauncher as the default application to open your script (or any .py script) through the finder Info window and double-click it. PythonLauncher has various preferences to control how your script is launched. Option-dragging allows you to change these for one invocation, or use its Preferences menu to change things globally.

http://docs.python.org/using/mac.html

for other operating systems, it should be reasonably easy to make an icon that launches the script

this also looked like a good solution for making executables:
http://cx-freeze.sourceforge.net/