I'm not sure just how seriously to take this thread... but just to chime one more thing in:
.exe files subsume a number of functions in Windows:
1) Windows applications -- as discussed, you either need to be running windows or emulating windows (or in the case of WINE derivatives, not emulating windows, whatever that means

) in order to run a Windows application. OS X cannot natively run Windows apps any more than Windows can natively run OS X apps.
2) Installer bundles -- occasionally there are reasons to want to crack open a Windows Installer Bundle to get at some of its contents. The example I'm familiar with is in order to install a Windows Mobile program onto a WM handheld without using desktop Windows. There's a program called
FileJuicer that can help with this.
3) Self-executing archives -- these are essentially .zip files or something else that contain some code to extract themselves so that one does not need to have a decompression program to extract them. There're also occasionally reasons to want to open these on Macs. I think Stuffit will do that.
So the not-so-serious part of me assumes you're asking for (1), which is a waste of time. (2) and (3) may not be; if so, I hope the answers help.
