WiX (Windows Installer XML toolkit) is a powerful tool from Microsoft to generate MSI files. Building installers is a pretty horrible process, WiX takes much of the pain out of the process. You can download form the official site.
I discuss the basics of how to use WiX to build installers.
Frequently installers are required to install and set up databases.
Configuring the registry is easy to do with WiX
Installing and configuring Windows Services with WiX
Using WiX to edit XML files during installation.
Not directly a WiX topic, but anyone using WiX needs to understand the msiexec tool.