Py2exe is quite easy to use, i've used it for a few gui apps and did not run into any problems(actually had a small problem getting image resources recognized, but that was in wxpython's end).
Also, py2exe is reliable and not that difficult to set up, but py2app is a bit of a pain. The resultant .app directories are also pretty big. My game is 6.5mb in Windows, and 32mb in OS X.
btw, How are you deploying your lua apps?