GearHead Caramel is the latest game in the GearHead series. Precompiled one-file versions are available for Windows and Linux, while the plain Python version should run on any platform that supports PyGame. You can download it from GitHub.
GearHead 1 and GearHead 2 have been moved to GitHub, and the latest binaries can be downloaded from there (check the releases section). You can also compile it yourself from source (which is very educational and something everybody ought to try, despite it being a pain in the arse). Dungeon Monkey Eternal is written in Python and so requires no compilation.
Older releases for GearHead 1, GearHead 2, and Dungeon Monkey Unlimited are available at SourceForge for Linux, FreeBSD, and Windows.