Advanced Installer is a very powerful advanced EXE, MSI installer (in accordance with Microsoft Windows authentication) packaging tool based on Windows Installer technique. Maybe you are more accustomed to using the NSIS (Nullsoft Scriptable Install System), but I do suggest you to give it a try. It won't let you down.
Thinstall (renamed as VMware ThinApp after acquired by VMware) is currently the most popular application virtualization tool. Most often, it is used to make single portable applications, which encapsulate all the related resources of a program (such as EXE, DLL, OCX, registry, etc.) into a single executable (EXE) file, so as to realize the isolation from operating system.
As a well-known application virtualization tool - i.e. the single-executable/portable software builder, VMware ThinApp is actually the former Thinstall Virtualization Suite which was later acquired by VMware. It can also be simply interpreted as one packaging suite for software and its complete running environment.