Correct me if I'm wrong here, but I think the thing about packing everything into an exe is that the entire exe is loaded into memory when run. This, then, wouldn't be an option if the program uses a huge amount (many MB) of media.
Ok then, you're wrong. No, only the executable part of the exe is loaded into memory. The data section is loaded as required, just as it would be if it were external.
Thing is, big commercial games usually make their own format or just include the models anyway. I have no idea why they don't pack it into the exe.
Any idea why?
A few ideas. One would be that they want to build up a community of modders who develop new free content. It attracts people to buy the game if they think modding is fun and if they think using the extra free content makes the game better value.
Another would be issuing a patch. Which would you prefer to host? A 5MB patch which replaces a few pack files or a 500MB patch which replaces one huge exe? You'll note that most retail game publishers do not byte-patch, they file patch. I don't know why this is, but I'm assuming they have a good reason for it, such as it breaks things if it's interrupted, or perhaps it set off AV/spyware programs.
Anyway, that's a couple of ideas why it might be.