You don't need to compile python for Mac/Windows/Linux. It is an interpreted language, so you simply need to have the Python interpreter installed on the system of your choice (it is available for all three platforms).
As for a GUI library that works cross platform, Python's Tk/Tcl widget library works very well, and I believe is sufficiently cross platform.
Tkinter is the python interface to Tk/Tcl
From the python project webpage:
Tkinter is not the only GuiProgramming toolkit for Python. It is however the most commonly used one, and almost the only one that is portable between Unix, Mac and Windows