I would like my Python script to pause before exiting using something similar to:
raw_input(\"Press enter to close.\")
but
I don't think there's any reliable way to detect this (especially in a cross-platform manner). For example on OS X, when you double-click a .py file and it tuns with "Python Launcher", it runs in a terminal, identically to if you execute it manually.
Although it may have other issues, you could package the script up with something like py2exe or Platypus, then you can have the double-clickable icon run a specific bit of code to differentiate (import mycode; mycode.main(gui = True) for example)