I've been playing with the Beta release of VMware Thinstall (Project North Star), and I have to say it's quite cool. It enables you to "Virtualize" an application by recording the changes the application's installer make during the first installation of the application. It then compiles all the required components and registry keys into a single executable that can be run on any other Windows system without the need to install the application.
I've tried a couple of applications, and the all worked very well indeed. They included:
Adobe Reader 8,
VMware VI Client 2,
Remedy Action Request System's Client.