It's worth mentioning that AIR apps do not use native UI widgets. (and in my opinion: the Flex widgets kind of suck)

I am building one now, and they do allow you to create a native installer for all three platforms. The only thing that sucks is that you have to build the installer on said platform. Not that big a deal with vmware, but still kind of annoying.

Again, depending on what you want to do, SilverLight works pretty darn well on Windows and Mac these days.