Wheels are the new standard of python distribution and are intended to replace eggs.
Why not egg?
Python’s egg format predates the packaging related standards we have today, the most important being PEP 376 “Database of Installed Python Distributions” which specifies the .dist-info directory (instead of .egg-info) and PEP 426 “Metadata for Python Software Packages 2.0” which specifies how to express dependencies (instead of requires.txt in .egg-info).
Wheel implements these things. It also provides a richer file naming convention that communicates the Python implementation and ABI as well as simply the language version used in a particular package.
Unlike .egg, wheel will be a fully-documented standard at the binary level that is truly easy to install even if you do not want to use the reference implementation.
More details of Wheel can be found in PEP-427. And here is a guide how to package your Python project into a Wheel.