Built-in scripting language available on all major operating systems?

Python comes close.

Mac has Python by default [1], and so do general-purpose Linux distros. (If your user is using Linux without Python, they're probably enough of an expert to install Python manually if they want to use your application.)

As usual, the problem is Windows. I recommend looking into Python packaging for Windows like py2exe, or putting a Python installation under your application's directory (this is the approach taken by Civilization 4, a commercial game that uses Python as a scripting language).

Maybe HN should lobby Microsoft to include Python on Windows. It might go down easier if Microsoft's own .NET based Python implementation [2].

Then again, this is probably asking for trouble, too: I could easily see Windows Python lagging behind everyone else's Python (like IE), or start innovating like crazy on their own, so if developers use Microsoft's cool features that only exist on Windows, their apps will no longer be cross-platform compatible (like what happened with Java in the 1990's).

Ultimately it's not really in Microsoft's interest to make it easier for applications to be portable, since application incompatibility is one of the things that keeps people locked into Windows.

[1] http://www.diveintopython.net/installing_python/index.html

[2] http://en.wikipedia.org/wiki/Ironpython