I was reading What's Wrong With Setup.exe?, and so was Avery, apparently.
I pretty much agree with Avery (and commented so on Jeff's blog), but I'd like to comment on how tricky the part about the DMG files is. The problem is that Mac OS X bundles aren't a single file (that could therefore be downloaded "just like that" and would be very intuitive), but is really a directory full of files (that thus can't be fetched off a web server as a single unit).
I guess Apple was focusing more on the shrink-wrap software publisher's point of view (normally shipping an actual CD-ROM), and kind of provided a virtual equivalent, but it does feel a bit weird.
One solution could be to ZIP the bundle, and give the operating system the ability to run them directly. You could then just download an application, and run it, no weird installation, nothing. It'd be a challenge, for sure. For example, the fault handler in the kernel would have to be able to find the page inside of a compressed ZIP file, if you "do it right". You could cheat and decompress it silently, but that'd could make launching a big application with lots of resources very slow, which is exactly what using a bundle is supposed to help with in the first place (by demand-loading resources). I know about the "stuff the resources inside the EXE" trick, but bundles can (and often do) have multiple binaries.
But they could certainly bite the bullet and find a way, I'm sure.
Note that the Apple approach also follows Avery's first advice. Preference files are created as they are needed, while running the application. It also means that a system administrator can simply put up a read-only file share on the network with the applications used in the office, and it'll Just Work (tm).