A little known feature of Python: you can wrap your Python application in a zip file and distribute it as a single file. The trick to make it runnable is to put your main function inside a file called __main__.py
inside the zip file.
$ cat __main__.py
$ zip appl __main__.py
adding: __main__.py (stored 0%)
$ rm __main__.py
$ python appl.zip
On Linux, you can even hack the zip file to include a shebang line!
$ cat appl
This is a Python application stored in a ZIP archive.
$ cat appl.zip >> appl
$ chmod u+x appl
It's not quite self-contained, as you still need to have Python installed, but otherwise it's a good way to distribute a Python application as a single file that users can just copy and run.