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Inno Setup - Inno Setup is a free installer for Windows programs.
Advanced Installer - Advanced Installer is a Windows installer authoring tool for installing, updating, and configuring your products safely, securely, and reliably.
Makeself - makeself.sh is a small shell script that generates a self-extractable tar.
InstallShield - If your software targets Windows, InstallShield is your solution.
InstallForge - A very simplistic and streamlined program for creating installation files.
RPM Builder - Easy gui to build RPM packages from binary