This is already implemented on the iPhone.
The main reason they haven't done it on OS X is that it would be completely backwards-incompatible. They should have done it in Snow Leopard (an easy choice if your app uses GC), but if they did they didn't tell anyone. Instead they added optional zip/deflate compression to HFS, and used it for most of the system files.
So, leeching your appz directly will cause no need for dmg?
(-:
This would be a huge improvement, in my opinion. The only thing I would change is to rename .appz to .zapp :P
The only reason why Mac application can't be distributed like Windows .exe files is that Mac applications are actually directories. Excluding .pkg installers 99.99% of the time the .dmg file is merely just a container for the single .app directory.
Safari automatically unpacks .zip files by default on download. Where's the mystery here. Why bother with dmg in the first place