Specifically I do know that the Debian package won't work on Debian Squeeze, but only on Debian Wheezy (Testing) maybe it does on Ubuntu as well, please report. If you have anything to criticize about the package, let me know. There is no apt source now, I hope to get it into Debian proper directly.
UPDATE: After Stani's report that Ubuntu has an older Scons, I lowered the dependency and updated the package on the Download page. It may now work on Ubuntu as well.
And then, the Windows installer still requires you to install MinGW and add it to your path, but it's clearly a huge step ahead. It's created with distutils, and that works very well. If you have the skills to enhance it, so e.g. the PATH variable is changed, or it will launch a MinGW install if not present, contact me and help.
UPDATE: And the idea that I got while writing a reply to "swong" is also now implemented. The new Nuitka on Windows simply guesses the PATH to MinGW to be the default path "C:\MinGW" or at least "\MinGW" and from there, it ought to just run after you installed it. Of course you can still set your own PATH environment and make the pick yourself.
Yours, Kay Hayen