I spent most of the day yesterday creating an installer for one of our projects. Unfortunately, I wasn't told we needed an installer until pretty late in the project, so I had to drop everything and make that my number 1 priority. And by pretty late in the project, I mean I had about one-and-a-half days to make it.
Installers. They've become one of my arch-enemy tasks at work. That part of my job is a poster-child for why you shouldn't volunteer to learn something, because you instantly become the person who always does it. Scott Adams occasionally points this out in his dilbert cartoon strip...if only Scott's warning had reached me sooner!
The biggest reason I hate working on installers is they're generally very tedious and time-consuming to create and test. An installer is the user's first impression of your game, and if it fails to work properly, they will have a negative impression of your product before they even get a chance to play it. Consequently, installers must be rock-solid and bug free on all your supported OS's, otherwise you could face some real nightmare scenarios, such as this or this.