Can I create a self-extracting archive for Mac?

In Windows I can create self-extracting archives, which end in exe instead of rar, and then you don't need to have an unarchiver available to extract them. How can I create a self-extracting archive for Mac? I need to distribute for download a large (100 mb when compressed) archive from a server to many mac users. I'd rather use a better compression like RAR or LZMA, but I need to be sure that it can be opened by everyone without needing to install anything.