How to run .exe files on Mac without virtual machine?
There is a wine port for OS X: http://wiki.winehq.org/MacOSX

From the project page:


  Current Status (x86)
  
  Wine works well on OSX for Intel based Macs minus a proper
  distribution package (Mac Application Bundle) to fully integrate with
  "drag and drop" and "open" or "open with" functionality. Wine also has
  shortcomings with desktop icon integration and execution of certain
  types of DOS or blended Windows/DOS programs.


(Notice that Darwine, the original effort to port Wine to OS X, was primarily written for PowerPC Macs. Some work was done to support Intel Macs, but it is no longer actively developed, so you are better off avoiding it.)

There are no official Wine packages available for Intel Macs as of this writing, so you'll have to use a third-party application like WineBottler (http://winebottler.kronenberg.org/), PlayOnMac (http://www.playonmac.com/en/download.html, for Snow Leopard and Lion). or Wineskin (http://wineskin.urgesoftware.com/tiki-index.php, for Lion and Mountain Lion).

daviewales has mentioned in a comment below a package manager I didn't know of called Homebrew (http://mxcl.github.com/homebrew/). You may want to give it a try.

Otherwise you can try the commercial product CrossOver, which is basically Wine with, as Wikipedia puts it, various compatibility patches added, more user-friendly configuration tools, and commercial support.

You can download a free trial here: http://www.codeweavers.com/products/