I've personally enjoyed the single EXE a lot. I've been using it for weeks as we were ramping up to release. Each day the Sitefinity team would create a new EXE file for the latest build and it was extremely convenient to download (and run) a single file. There was no need to run a new install or upgrade/remove an old install.
Furthermore, I was working with another team to create a Sitefinity add-on and they were frequently working with a slightly older Sitefinity version. I had a single directory with different versions of the Sitefinity EXE. These versions could sit comfortably alongside other versions.
The Sitefinity Team might already have plans for an installer, but I'm just giving my own impressions of working with these single file EXE's. :)
I'm glad you're giving the CTP a look!
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