It can be very difficult. My scientific plotting package, veusz, was written using Python and Qt, so it should be easily portable. However setting up a sensible developer environment on Windows to compile the Python C extensions was a nightmare. Windows is pretty developer-hostile if you're used to Linux. Trying to find and install the correct version of Visual Studio Express was difficult. I had to learn far too many things about the registry, DLLs, building installers, etc. Mac OS X was rather more difficult, however. You have to download the massive Xcode and the non-standard way that Mac OS packages executables and libraries was very difficult to understand. It took a long time to get fat binaries working.
You do get a different class of user on Windows and Mac OS X, however. The Linux people are closer to being knowledgeable about development, whereas Windows and Mac OS people are primarily users, wanting more help and hand-holding.