Can I compile LÖVE games into EXE files and sell them?

Yes, you can sell what you make in LÖVE. Their site clearly says: "LÖVE is licensed under the liberal zlib/libpng license. That means you can use it freely for any purpose — including commercial ones."

And yes, you can make an executable out of your LÖVE project. Just see here.

Here's the answer to your EXE file question from their wiki:

Windows

copy /b love.exe+game.love game.exe

Linux

cat love game.love > game

From their TOS:

Permission is hereby granted, free of charge, to any person... to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software,... subject to the following conditions:

The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.

It says you can do anything you want with it as long as you leave their permissions notices in-tact on any files they put it on.

From the same page -

Two things should be noted:

• The end result will not be a single executable, you must also include some DLL files in your zip-file.
• The resulting executable from the merge will still be readable by archiving software, such as WinZip.