How to deploy Python to Windows users?
Copy a Portable Python folder out of your installer, into the same folder as your Delphi/Lazarus app. Set all paths appropriately for that.
Integrate the python interpreter into your Delphi app with P4D. These components actually work, and in both directions too (Delphi classes exposed to Python as binary extensions, and Python interpreter inside Delphi). I also saw a patch for Lazarus compatibility on the Google Code "issues" page, but it seems there might be some unresolved issues there.