The two top answers by @SCW and @Mike Toews are great. The site listed by Mike is for unofficial binaries - which was very useful when 64 bit GDAL was not readily available (as per the time he wrote his reply), but it has been now for some time. I have added this alternative answer here as, although I have mentioned it many times, it still keep cropping up and this wiki may be a better place to put it.
If you want to install just the GDAL Binaries for Python on a windows machine I would get the installers from the excellent GIS Internals Site. This site is linked from the official GDAL/OGR Binaries page. This gives you access to GDAL through a normal Python install without any need for using the osgeow shell. The binaries here are regularly maintained and compiled against a variety of versions of Visual Studio (so choose depending on what runtimes you have installed).
