Using a pygame installer downloaded from Christoph Gohlke's site, I can even build the installer on Linux and have it work on Windows.
Pynsist never tries to make an exe of your application, unlike freeze tools such as cx_Freeze and Pyinstaller. Instead, it installs your code along with a copy of Python, and creates start menu shortcuts to launch your Python code directly. This produces bigger installers (but not huge - Aliens is 27MB), but it is less brittle. Freeze tools often have problems with packages that don't expect to be frozen, or break when a new version of Python comes out; Pynsist avoids these issues.
Pynsist supports Python 3.3+ and Python 2.7.
Thanks,
Thomas