pyInstaller is cross-platform and very powerful, with many third-party packages (matplotlib, numpy, PyQT4, ...) specially supported "out of the box", support for eggs, code-signing on Windows (and a couple other Windows-only goodies, optional binary packing... the works!-) The one big issue: the last "released" version, 1.3, is ages-old -- you absolutely must install the SVN trunk version, svn co http://svn.pyinstaller.org/trunk pyinstaller (or the 1.4 pre-release, but I haven't tested that one). A fair summary of its capabilities as of 6 months ago is here (in English, despite the Italian URL;-).
