and please feel free to add your experiences with additional libraries, no matter how exotic they may be.
Will using the Psyco library in my scripts improve their performance when
they are run as an exe?
as much as it will improve the speed of your scripts when they are run as scripts. There is allways a tradeoff between additional memory usage by psyco and the speed gain; obly way to be sure is to benchmark. Benchmark THE REAL APPLICATION, not synthetic snippets. (Armin Rigo explicitely states those matters; you can learn more then you propably ever want to know about these issues if you google for Dr. Armin Rigo and pypy and JIT...)
Will using Psyco in my setup.py script speed up the compile/packaging
Kind of. In the py2exe wiki I linked down there I put in some tipps for using psyco wiht the setup.py. My experience is that the setup.py is mostly IO-bound (finding all the files that belong to the script) and CPU bound on the compression phase (I use innosetup). In my environment those installer-compression takes the longest time; and it is allready using the configured library which is in highly optimized whatever.
I often get error messages when importing external libraries, what are the
common tips can I use try to avoid this?