Markus F.X.J. Oberhumer & László Molnár have created an executable packer that works on DOS, Linux, and Windows executables.
A DCL user had this to say: UPX is just excellent - and it’s free.

UPX 1.25 is shipping as of June, 2004.

http://upx.sourceforge.net/

PKWare lets you create secure SFX files for distributing data. However, they aren’t going to tell you how much you have to pay on this page - you have to fill out an inquiry form and send it to their sales team.

http://www.pkware.com/products/developers/distrib/

PECompact compresses Windows executables significantly, while allowing them to be run as normal. You can compresses code, data, import/export table, and selected resources. Section merging and resource data restructuring are also supported. It trims, optimizes, and realigns the PE structure while preserving shell icons and version information, or any other resources you chose to leave uncompressed. Uses its own JCALG1 compression, which offers decent compression speed, great compression ratio, and extremely rapid decompression.

Version 2.28 is shipping in June, 2004.

http://www.collakesoftware.com/pecompact.htm

Petite is a Win32 (Windows 95/98/2000/NT/XP) executable (EXE/DLL/etc…) compressor. The compressed executables decompress themselves at run time, and can be used just like the original uncompressed versions. Petite also adds virus detection to the compressed executables - they will check themselves for infection every time they are executed.

http://un4seen.com/petite/

This is reportedly a Win32 exe packer. However, this is a Chinese langauge site so even that is just a guess.

http://www.tlzj18.com/

This is reputedly the home page of the PeX executable cracker. However, the fact that the page appears to be in Polish keeps me from saying more than that.

http://xtreeme.prv.pl/

A nice set of tests comparing a wide variety of executable packers.

http://pect.y11.net/

This program creates a very high secure AES /Serpent/Twofish 256 bit/Blowfish 448 Bit, Mars 1248 Bit and RC6 2048 Bit selfextracting file. The SFX-Header is 41kb-49kb great. This SFX cipher checks whether the decrypting password is correct with a highly secure method, never compromising the key: while a 64 byte random number is created and also encrypted. While decrypting these two numbers are compared to test for the correctness of the password. Very simple, yet as safe as the algorithm itself. The license covers Multicrypt too. One license for two programs.

http://www.paehl.de/english.php?sfxcreator

This tool creates SFXs for your archives, and currently has both 16- and 32-bit extractor modules. Includes advanced features such as SFX files that span multiple disks. Commercial Windows software.

Version 3.0 is shipping as of February, 2003.

http://www.ncsmartsoft.com/

A free SFX Maker with some nice features.

http://www.powerprogrammer.co.uk/stubbie.htm

Another Win32 archiving program, supporting the Zip format and scads of others, as well as providing SFX, encryption, a file splitter, and best of all, a free world clock!

http://www.innovators.com/html/planet_zip.html

DIUcl is a freeware port of UCL to Borland’s Delphi language. UCL is the compressor used in the UPX Ultimate Packer for Executables by Markus F.X.J. Oberhumer. Decompression is extremely fast, and requires very little memory. The author claims that the decompressor fits into less than 200 bytes of code. Supports in-place compression and decompression. Using DIUcl is very simple: There’s a compress() function that compresses a block of memory, and there’s a decompress() function that handles decompression.
Real-time decompression should be possible for virtually any application, which makes DIUcl the ideal tool to compress your database Blob fields.

Version 1.10 is shipping as of June, 2003.

http://www.zeitungsjunge.de/delphi/ucl/index.htm

Advanced Zip Repair(AZR) is a powerful tool to repair corrupted Zip and self-extracting(SFX) files. It can recover your data in Zip archives as much as possible, so to minimize the loss in file corruption.

Version 1.6 is shipping in May, 2003.

http://www.repairfile.com/

Zip Assistant is a vanilla Win32 archive program, which appears to be slanted towards the novice user who might need a bit of handholding. The web page does say that advanced users will appreciate some features as well, and the feature list does include disk spanning, SFX files, and more.

Version 4.6 is shipping as of April, 2003.

http://www.jgraff.addr.com/zip32.htm

Zipbit is yet another inexpensive Win32 archiver with support for a wide range of archive types. Creates SFX files, integrates with Windows Explorer, and has localized versions for English, German, and Russian.

Version 1.05 is shipping as of April, 2003.

http://www.zipbit.com/

FileStream makes quite a few compression-related programs, including TurboZip and TurboSFX. Release 5.,1 appears to have shipped sometime in the latter part of 2002.

http://www.turbozip.com

The folks at UltimateZip
bill their freeware program as The Archive Program for the New Millenium, and why not? It has a full set of archive types that it supports, built in disk-spanning, skins, the works. It looks pretty good.

Release 2.7.1 shipped in September, 2002.

http://www.ultimatezip.com

shcodec is order-0 32-bit canonical static huffman codec. It encodes an alphabet of 256 symbols with minimum-redundancy or length-restricted codes (basic method: Alistair Moffat and Jyrki Katajainen, modified by Artur A. Pessoa). shcodec uses efficient method for tree packing: on text files packed tree size is approx 68 bytes, on binary files this value is about 132 bytes. Memory requirements are very small: 1280 bytes for encoding and only 574 bytes for decoding! shcodec uses extremely fast and simple SHIFT-OR method for encoding, and CANONICAL-DECODE with a cache for small codewords for decoding.

Update: Alexander has added SH-SFX to the web page - a program for creating Win32 SFXs from files compressed with shcodec.

http://webcenter.ru/~xander/

TZipTV returns to the programmer internal file information of files compacted within a compressed archive. Archives supported include ZIP, ARC, LZH, LHA, HA, RAR, PAK, ARJ, ZOO. Seperate extraction components included in this package are TUnZIP, TUnARJ, TUnARC, TUnLHA, TUnZOO. Also contains TUnSFX (exe to archive).

http://www.programmersheaven.com/zone2/cat56/2863.htm

Advanced Zip Repairer(AZR) is a powerful tool to repair corrupted Zip files and Self Extracting files(SFX). It can recover your data in zip archives as much as possible, so to minimize the loss in file corruption. Currently AZR can fix all sub-types of zip files and all kinds of self-extracting files, also it will provide a tiny exe stub when repairing SFX files. Moreover, it has integrated with windows shell and supported drag & drop operations, which will make you repair files easily and quickly.

http://www.qwerks.com/product.asp?ProductID=3509

Your basic tutorial about dealing with zip files. Targeted at the beginner.

http://www.eurekais.com/brock/aazip.htm

By Rui Godinho Lopes. An article about creating Self-Extracting files with integrated compression.

http://www.codeproject.com/file/sfxframework.asp

The ZipTV compression suite is a set of components to be used with Borland’s Delphi and C++ Builder products. Manage archives, SFXs, etc, with support for at least 15 archive formats.

Reader Joseph K. says Amazing collection of compression tools!.

http://www.ziptv.com/

Another program for compression executables. This is a Win32 preprocessor that claims to reduce EXE size as much as 70%.

http://www.entechtaiwan.com/aspack.htm