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.
For windows, you can use .Net (which usually comes by default on windows distributions, so you should be able to send it and run without any issues). C# is a good language that uses it.
So it's not really native (it runs on a VM), but it produces the .exe that can be easily shared.
On the topic of Delphi, try FreePascal / Lazarus? Free, dependency free development even with GUI designer. FreePascal (non-GUI) supports an ungodly number of platforms!
Otherwise, can't recall much else, discounting cheating with e.g py2exe.
