Installers

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Depending on your target platform, and your budget, there are a number of potential installation methods available to you.

Cross Platform

BitRock 
BitRock InstallBuilder is a commercial product that creates installers for Linux, Windows and Solaris. Open Source developers can get a free license upon request (for use with Open Source software).
InstallShield 
InstallShield is a Java-based commercial installer product which will work on Windows, Linux and MacOS X.

Linux Installers

Autopackage 
Creates distro-neutral binary packages.
Illwinter Game Installer 
A multithreaded installer creator.
Loki Setup 
The graphical installer developed by the now defunct Loki games is an excellent tool for the deployment of your game on Linux-based machines.
Loki Setup tools @ icculus.org 
Updated version of Loki Setup.
MojoSetup @ icculus.org 
Icculus' (Ryan Gordon) revamp of Loki Setup from scratch.

MacOS X Installers

MacInstallerBuilder 
A commercial installation tool for MacOS X.

Windows Installers

Astrum Install Wizard 
A simple easy to use point and click installer with features similar to installshield. [Shareware/Commercial]
Inno Setup 
Free, powerful installer with many features that can be utilized using the installers scripting language.
Nullsoft Scriptable Install System 
A very flexible, open source Windows installation tool. It has a very small overhead.
Windows Installer 
The Windows installer from Microsoft is a freely available, and full-featured installation tool.
WISE 
Wise Solutions offers advanced application management and installation solutions with a full range of capabilities and features for system administrators and professional software developers. [Commercial]
WiX 
An open source toolchain for creating Windows Installer packages. XML based.