I'm using distribute_setup_3k.py (downloaded from nightly a few minutes ago) with Python 3.1 for Windows. Every time I run setup.py (even if only with --help), it rebuilds the distribute egg. Needless to say, this does not make for a very responsive user experience. :-)
I've attached the complete output, in case it is useful in diagnosis. There appear to be a few errors while building the egg, although it does eventually print the help.