Compile a PHP script in Linux

Check out phc: the PHP compiler

If you just want to run it like a script, you may not need to compile it per se, but just run it via the command line. Read running PHP via the command line.

There is this: http://www.bambalam.se/bamcompile/ but that compiles to Windows bytecode. There are a few others, but all I have seen will compile for windows only.

Few More:
http://www.nusphere.com/products/phpdock.htm

Edit: I almost forgot if your looking to make it work on linux without regard for windows you can just add

#!/usr/bin/php

to the top of the script and you should be able to run it from the command line. Don't forget to chmod +x the file first.