I am developing a Python script for Blender. My development environment is a Linux box with a full Python installation. If I use modules like, math, xml.sax or pickle in my script can a Windows or OS X user execute my scripts? Or is it necessary for platform independences to use only the build in BPY modules?
It will be platform independent 
It will run on any platform where both Blender and Python run!
Stefano
the only time you’ll have platform dependance problems is if you make your own module then you’ll have it on whatever compilation environment you get.
MacBlender