What about a fully self contained folder? No need to statically link everything, on Windows and on Linux you can dynamically link to local files in a provided folder. Plus the folder provides a place to store local/temp files as well. This is how I deploy software on Windows and Linux, and I find it saves a lot of headaches.
Lack of compression (or at the mercy of the file system) tends to be an issue. That is why people choose to use squashfs and then have a writable overlayfs on top of it.
