Can I create a self-extracting archive for Mac?
OSX contains an unarchiver so you don't need the equivalent of a .exe so you can extract on any machine and not be stuck as you are on a Mac when you receive a Windows self-extracting archive

To archive select the files in Finder. Command-click or right-click and choose compress from the menu - you will get Archive.zip. To unzip just double click on the .zip file

The tool that does the unarchiving is Archive Utility.app and understands various compression schemes from Wikipaedia including bzip2 which can be better than zip - but you need to compress using a command line tool bzip2