While it is true that OSX gui may not recognize these executable files, a simple drop to terminal, and typing unzip file.exe will still happily do the trick.
That is pretty slick. Next time I have to deal with one of these bad boys, I will try and resist the temptation to use StuffIt Expander. It is amazing to me how many Unix utilities and services that ship with OS X are not directly available from the Finder. FTP tops the list, but this is certainly a gem.
