You can do the import from URLs in Python currently, though not in quite the way you describe. Close, though. Anyway, you can see the example here:
I'm sure there's other similar examples out there for Python. It's a security nightmare, as your computer's integrity becomes very dependent on your network and even internet integrity.
Another way to address the issue is better bundling and packaging. We are very close in Python. Things like py2exe or py2app kind of do it, and we could actually create a much simpler system given the tools that have been developed in the meantime. The resulting scripts will be large in terms of disk space, but eh -- they can still be nice and tight in terms of effort going into them. We're very close to this, but it's really not that clear where to go from here either.