Python works on multiple platforms and can be used for desktop and web applications, thus I conclude that there is some way to compile it into an executable for Mac, Windows
There's also PyGTK, which is basically a Python wrapper for the Gnome Toolkit. I've found it easier to wrap my mind around than Tkinter, coming from pretty much no knowledge of GUI programming previously. It works pretty well and has some good tutorials. Unfortunately there isn't an installer for Python 2.6 for Windows yet, and may not be for a while.