Commercial games with Linux versions often still use this (or a variant). Not too sure why; perhaps because it's the closest Linux equivalent to the self-extracting installer archives they use on Windows?
When dealing with users who may not be completely familiar with package management, and creating a single cross-platform package, it can be very helpful to prevent the data and its installer from being separated. It's a very simple way to bundle some logic with an archive as well, as the script can be modified after it is generated.