As an occasional Linux user, I notice a huge difference between pure Python and extension packages there, but basically always have a compiler handy on my Windows machines. It's all about context and what you're used to :)

The advice has always been "Visual Studio X" is what is needed, and for 3.5 onwards that becomes "Visual Studio 2015 or later". Unfortunately, the story isn't so simple for legacy Python and 3.3/3.4 because those versions of VS are not so easy to get (unless you're a professional Windows developer with an MSDN subscription, which is pretty common). It is possible to use some other installers to get the old compilers, but Python was not designed to work with those and so there are issues that we cannot fix at this stage.

It also doesn't help that older versions of VC weren't as standards compliant, so people wrote code that doesn't compile when ported. There are also many dependencies that don't work directly with MSVC (for the same reason, but in this case it wasn't the package author's fault).

If you follow distutils-sig, where this occasionally comes up, you'll see the direction for packaging generally is to avoid needing to build. The hope is that even setuptools becomes nonessential enough that it can be dropped from a default install, but package developers will install it or another build manager to produce their packages (on Windows at least, though there's work ongoing to make this possible on many Linux distros too).