For some routine work I found that combining different scripting languages can be the fastest way to do. Like I have some main bash script which calles some awk, pyton and bash scripts or even some compiled fortran executables.
I can put all the files into a folder that is in the paths, but it makes modification is a bit slower. If I need a new copy with some modifications I need to add another path to $PATH as well.
Is there a way to make merge these files as a single executable?
For example: tar all the files together and explain somehow that the main script is main.sh? This way I could simply vi the file, modify, run, modify, run ... but I could move the file between folders and machines easily. Also dependencies could be handle properly (executing the tar could set PATH itself). 
I hope this dream does exist! Thanks for the comments!
Janos
Thanks for the answers!
Of course this is not a good approach for providing a published code! Sorry if it was confusing. But this is a good approach if you are developing some e.g. scientific idea, and you wish to obtain a proof of concept result fast and you wish to do similar tasks several times but replacing fast some parts of the algorithm. Note, that sometimes many codes are available for some parts of the task. These codes are sometimes needed to be modified a bit (a few lines). I am a big believer of re-implementing everything, but first it is good to know if it worth to do!
For some compromise: can I call a script externally that is wrapped in some tar or zip and is not compressed?
Thanks again,
J.
Multiple executables as a single file