I strongly favor a common approach instead of doing it differently on
different platforms.  (Aside: check out the gratuitous differences for
names and locations of distutils config files:
http://docs.python.org/install/index.html#location-and-names-of-config-files
.)

I weakly favor tar over zip.  The current release of tar features LZMA
compression, for example:

$ ls -lS
-rw-rw-r-- 1 zooko zooko 8355840 2009-06-17 09:48
allmydata-tahoe-1.4.1-r3916.tar
-rw-rw-r-- 1 zooko zooko 2562835 2009-06-17 09:51
allmydata-tahoe-1.4.1-r3916.zip
-rw-rw-r-- 1 zooko zooko 2383653 2009-06-17 09:48
allmydata-tahoe-1.4.1-r3916.tar.gz
-rw-rw-r-- 1 zooko zooko 2250149 2009-06-17 09:49
allmydata-tahoe-1.4.1-r3916.tar.bz2
-rw-rw-r-- 1 zooko zooko 2223425 2009-06-17 09:49
allmydata-tahoe-1.4.1-r3916.tar.rz
-rw-rw-r-- 1 zooko zooko 1818466 2009-06-17 09:52
allmydata-tahoe-1.4.1-r3916.7z
-rw-rw-r-- 1 zooko zooko 1811698 2009-06-17 09:50
allmydata-tahoe-1.4.1-r3916.tar.xz

Presumably the current tar module in Python doesn't yet support LZMA,
but it is a good possibility for the future.  On the other hand, ZIP is
more widely used, e.g. by setuptools and especially by tools which were
born in Windows world.