I've always hated this too.
Most of the stuff you see this way comes from News Groups, because UseNet has a 15mb file size restriction. However, it doesn't mean that it has to be posted on other sites in the same format.
If I get a file in that format and want to post it on other sites, I always unRar/unZip it before posting. Some times I do leave files with a .exe file in rar format because people tend not to like then in their natural state.