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In osx with some programs you download a .dmg file and run it then you copy the application to your application folder and its done. With others you have to run an install program and that installs it all that way.

Why do they do it differently ?

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The most common reason is integration with the system. For some applications, you simply open the application, use it, and then when you're done, you close it. Everything related to that application is done through the application. An example would be the calculator, or a chess game.

Other applications need to integrate themselves with OSX itself in order to provide you with a better experience. This would be context menus when you right-click on certain types of files in Finder (Like the Dropbox menu), mime-types and associated icons (This is how OSX knows to display the Excel icon with .xls files), and other features which need to be available outside of the application itself (most likely while it's closed too!).

These extra features can't always or easily be accomplished by drag-and-drop, so applications which use them must have an additional installer script. Frequently, installer scripts also check that you have the appropriate hardware available or software libraries installed if the application depends on them.

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