Not entirely related, but your discussion of a self-boot strapping exe reminded me of my own experiments with them. I made a game in 15KB that used OpenGL to make a terrain demo with a procedurally generated dirt texture and some experimental procedural clouds.
In particular, you can add alot of stuff to the exe, especially text, if you're willing to pack the exe.
UPX is my personal favorite.
It doesn't impact the executable's speed in any way, and you can get a good 60% compression going. A zip of the exe is going to be marginally smaller, and the program will load faster (unpacking is faster than reading from the very slow hard drive).
It's pretty easy to set up a .bat file to automate the compression. It would look like this:
upx yourprogram.exe
pause
Doesn't really add anything all that neat, especially in today's day and age, but I think it's pretty neat to run a program that's tiny