Very good question - I recently wrote a nice little shell script for adding a site to the squidGuard whitelist that filters my children's browsing.
Then I wanted to make it easy for my wife to run. All I wanted was a little GUI window with a couple of controls to set the script's parameters, and an output box to capture the output of the script. I couldn't find a way to do it as easily as I wanted.
In the end I went with a ruby script using a Glade ui definition. It works excellently, but it was more work than I really wanted to do. I'd love to hear of an easier way.