This is one thing I really really liked about Go, but unfortunately I don't really like the rest of Go very much. What are other languages that have this property? Building an ".exe" I can send to a Windows user is not a pleasant exercise in Python.
So it's not really native (it runs on a VM), but it produces the .exe that can be easily shared.
Otherwise, can't recall much else, discounting cheating with e.g py2exe.