cx_Freeze python single file?
It is not supported in cx_freeze. There was discussion about it on mailing list. As I recall, the author stated that others (PyInstaller, Py2Exe) use some dirty hacks to achieve that. Some anti-virus programs can consider that behavior as a virus also.
I used PyInstaller for some time, but went back to cx_freeze because of Python 2.7 support. I pack everything using Inno Setup, so it is easy to distribute. Depends if you use Windows or not.
Isn't this what bbfreeze does?
Tutorial here: http://www.blog.pythonlibrary.org/2010/08/19/a-bbfreeze-tutorial-build-a-binary-series/
It's actually not that hard to roll your own with Python zipimport http://docs.python.org/library/zipimport.html
You may prefer to use something like UPX which is a more general solution, not Python only. http://upx.sourceforge.net/
You can use 'bdist_msi' instead of 'build'. This will create a dist folder in the directory with a single setup application.