Windows: Inno Setup
This is free from http://www.jrsoftware.org/isinfo.php
Inno Setup is a marvellous tool, making it really easy to auto-build "standard looking" setup .exe files using scripts. I use cygwin bash shell to grab my latest files, build the setup .exe files and zip them up - dead easy. Spread the word!
Mac: PackageBuilder - free from Apple
Some apps are simple enough just to distribute as zipped-up Disk Images, from which the user can drag the embedded .app file to their Applications folder. However, applications that are more complex (such as Noatikl, which includes various components including Audio Unit and VSTi variants) are tougher to build installs for.
PackageBuilder is built-in to XCode, and builds good looking "Mac Standard" installs, but it is a pain to drive it automatically. I use one bash shell script to copy all the bits I need under a build folder, then I run the PackageBuilder manually using pre-prepared configuration file (can't figure-out how to run it from the command line!) (making sure I save the .pkg files into the right folder... that'll catch you out if you're not careful!) and then a second script to build the pkg file into a .dmg file, then zip it up.
Both these tools allow you to embed licenses that the user has to agree to in order to complete the install, which was important to us; in both cases, those text files can come from .rtf files so they're nicely formated!
PackageBuilder with XCode 3
If you're using XCode 3.0, and have tried to build an installer package and encountered all sorts of annoying problems that prevent it from working; don't despair.
Instead, do what I did, and copy/use intead the PackageBuilder.app from from an XCode 2.x distribution; this works, and means you can totally avoid the buggy version in XCode 3.0 ... :)
This fixes the problem where when your application gets installed, it appears in /Library/Applications rather than ~/Applications ... this is such a huge bug, I'm amazed it actually got into XCode 3 ... oh well!
Here is an outline bash script that you could use. Note the use of sudo to get around some file permission problems; basically, if the files that you work with don't have the appropriate permissions, they won't get installed properly on the target Mac.
sudo /Developer/Tools/packagemaker \
-p myprod/install/macosx/myprod_mac.pkg \
-proj imyprod/liptikl/install/macosx/myprod_mac.pmproj \
-f ./myprod_install_root \
-r ./myprod_install_root \
-i myprod/install/macosx/Info.plist \
The .pmproj file is prepared by you, prior to repeated running of this script, by the PackageMaker GUI tool that is in /Developer/Applications/Utilities ...
Oh, and under myprod_install_root, you first have to create separate Applications, Library etc. folders containing copies of my App, Libraries etc. that you want installed, in a folder structure mirroring how they should get installed on the target Mac.
The solution here is to build cabinet files using cabwiz (which comes with of Visual Studio). You'll need to construct all sorts of custom code in a custom setup.dll file, that does stuff such as displaying license text that the user must agree to at install time. You should also write a relatively simple launcher .exe for Windows Desktop, that allows the user to install the file directly from their Windows desktop, through the services of ActiveSync (this is a lot easier for your users, than expecting them to copy a .cab file across to their Mobile device's StartUp menu...!)
For distribution to your ad-hoc testers, remember that you need to update the version number in version.plist every time you supply an updated build; otherwise, it'll fail to install/update on the target iPhone/iPod! Remember also that if you zip-up a .app file, it won't install properly after being unzipped on the target computer. Instead, first put the .app file in a disk image, and then compress the disk image to a zip file that you can then mail to your ad-hoc testers.