Brian Ortiz

Via a wiki answer on StackOverflow:

WiX

• Very powerful and flexible.
• Can produce MSI packages (Microsoft deployment format of choice)
• Almost no documentation
• Very steep learning curve.
• XML-based.
• Recommended for very complex installators.

InnoSetup

• Cannot produce MSI packages.
• Based on INI files (less powerful but very low learning curve)
• Possible to inject Pascal procedures for extra flexibility.
• Probably the best choice for 90% of programs.

NSIS

• Cannot produce MSI packages.
• Fully scripted, very powerful but at cost of high learning curve.
• Recommened if WiX is too much and InnoSetup not enough.

AdvancedInstaller

• Basic version is free.
• Can produce MSI packages.
• Very good user-interface, almost no learning curve to get things done.
• XML-based (but schema is not very user-friendly, doesn’t really matter as you would use GUI editor anyway)
• The best option if you have only basic installer requirements and don’t have time to learn something new.