This is what I was wondering about, because I have so far failed to install a single Python package on Windows without it breaking on some Unix dependency.
If you're pulling a pure python package (like Django, Tornado or requests) then you're golden on any platform python is available for. If you're pulling a python package that contains C bits (like PIL, msgpack-python) then you'll need the compiler toolchain and associated libraries.
Luckily, most such packages (the popular ones at least) can be obtained in other ways (PIL through a win only download, or get a pure-python alternative like msgpack-pure-python).
I have 163 packages in my local pypi, and they work fine on Linux, Windows, and OS X.