How do I install PyCrypto on Windows?

After years and years, python finally agreed for a binary disribution called wheel which allows to install even binary extensions on Windows without having a compiler with simple pip install packagename. There is a list of popular packages with their status. Pycrypto is not there yet, but lxml, PySide and Scrapy for example.

Edited Nov 2015: pip uninstall pycrypto & pip install pycryptodome. It is a pycrypto fork with new features and it supports wheel. It replaces pycrypto, so existing code will continue to work (see https://pycryptodome.readthedocs.org/en/latest/src/examples.html)

If you don't already have a C/C++ development environment installed that is compatible with the Visual Studio binaries distributed by Python.org, then you should stick to installing only pure Python packages or packages for which a Windows binary is available.

Fortunately, there are PyCrypto binaries available for Windows: http://www.voidspace.org.uk/python/modules.shtml#pycrypto

UPDATE:
As @Udi suggests in the comment below, the following command also installs pycrypto and can be used in virtualenv as well:

easy_install http://www.voidspace.org.uk/python/pycrypto-2.6.1/pycrypto-2.6.1.win32-py2.7.exe

Notice to choose the relevant link for your setup from this list

If you're looking for builds for Python 3.5, see PyCrypto on python 3.5