First you will need some GUI library with Python bindings and then (if you want) some program that will convert your python scripts into standalone executables.
Cross-platform GUI libraries with Python bindings (Windows, Linux, Mac)
Of course, there are many, but the most popular that I've seen in wild are:
Complete list is at http://wiki.python.org/moin/GuiProgramming
Single executable (all platforms)
PyQt
)Single executable (Windows)
Single executable (Linux)
Single executable (Mac)