timppu: I actually like games that come in just a zip file without a need of an installation, as those games are fully portable. The only hesitation is that if they add some registry entries and such when you run the game, and which will remain there because of no uninstaller.
Always will be fond of portable software. But, as you say, the question is whether the game is actually contained in its own folder, settings in .ini files, saves there too, or you'll have to search for stuff when you want to get rid of it. If it is contained, awesome, just unpack somewhere, play, when you're done just delete that folder, no overhead, nothing thrown and forgotten in Temp, no traces left, nothing that may install other undesired elements or try to connect anywhere or what not. And technically even if it does want registry keys, it could come with an install.reg and uninstall.reg, or at least the latter, since the game should create the registry entries it needs if it notices them missing. But much better if it doesn't have them at all, yep. And doesn't throw files in user folder or wherever.