Any version bdist_msi for pure Python packages
A double whammy, courtesy of recent commits by Stephen Bethard and Tarek Ziade: not only is the available-but-undocumented bdist_msi packager now available-and-documented, but it also offers installation into multiple Python installations for pure Python packages. This means that, say, an installer for my Python-only WMI module can now be installed to any Python installation found in the registry. Not only that (which the bdist_wininst installer already offers), but it also offers you the chance to install to an arbitrary location (say if you have Python built under a Subversion checkout).
UPDATE: Brad Allen points out that bdist_msi already allows installation to an arbitrary location (which I didn’t think it did).