I'm sitting at my computer now, waiting for my latest GOG .exe file to finish downloading, and I have to wonder: why doesn't GOG use any system of file compression for these things? If my game's manual can come in a .zip file, why can't the game itself receive the same treatment?
I'm not bothered too much by having to wait an hour for something to download; good things come to those who wait, and all that. But it strikes me that this non-compressed downloading system is a curiously inefficient way to deliver a product over the internet in the middle of the Information Age.
Maybe I'm just ignorant about how file compression actually works, but could I have an explanation for why GOG is set up like this? I have seen .exe's set into .zip or .rar files before, so I believe that it should be possible...

Because it will take an eternity uncompressing the file after you've got it.

I expected that it was because simply compression on the EXEs would do nothing because technically they are already in a compressed state.
I proved this with a simple experiment.

Romulus is right, the exe file has the game already compressed. Attempting this further with *.zip would not have any decent benefit.
At the most, you may be able to knock off a couple of megs with the *.7z compression. However, since the majority of people don't have 7zip (or alternatives) installed and the size compression is minimal and *.zip extraction is inbuilt in windows, it is skipped.

The installation executables are essentially a self-executing zip file, which Romulus has very handily shown. They are already as compressed as much they are going to get, using a standard Windows compression algorithm. For games that have multiple image files to go along with the installation executable (like Painkiller Black, for example), the image file format is already more compressed than a .zip could ever be. In fact, attempting to create a .zip from the .bin files actually creates a new file that is larger than the original.
EDIT - And apparently Ois types faster than me :)

w00t great example romulus, I was going to provide the same answer w/o proof, but you've gone and decided to show your work.