I used py2exeto do this for this, but it looks like it is no longer supported, the last package they have is for Python 2.6.
py2exe
I need an application with Python 2.7 + Pygame.
Big bonus points if it allows me to create OSX packages.
What about PyInstaller ? The latest revision seems to have been done about 2 days ago, at the time of this writing, so it seems to be supported and claims to support Windows, Linux, and OSX.
cx_Freeze . , . py2app, OSX.