I'm using MoleBox currently, which features
- Merge files int one executable
- NO temporary files for loading
BTW, you can make a self-extracting-and-running EXE with WinRAR/7Zip etc.
AppPack still extracts to temp directory, I just hope there's some way to prevent this.
I've been playing software deployment for a little time and I think you can look at http://portableapps.com/apps, with a few efforts you can also make a single EXE via NSIS installer.
So AppPack is a good idea, but needs more imporvement: more compression than 7z, faster than LZW, no temp files etc.