Two specific issues come up frequently: either a standard Python module seems to be missing (an import statement raises an exception telling you it can't find the requested module) or Blender warns that it cannot find the Python distribution with a version equal to the compiled version.

Both issues were addressed inChapter 1, Extending Blender with Python and for additional information refer to: http://wiki.blender.org/index.php/Doc:Manual/Introduction/Installing_Blender/Python.