I've never done that; I always see either dmgs (on Mac) or installers of some sort (on Mac and Windows). The thing you download is a single file, but they expand into a lot of files. The Mac makes it look nicer with the .app idea, but you're still getting a bunch of files in there, one of which might be an interpreter for some of the other files.
I think compilation to a single binary is not a big advantage when distributing to others. I think that because I've rarely seen anyone distribute software that way. If it's a widespread practice in some circles, I'd like to know more about the circumstances.