If you have python installed, you can use it to serve the current directory over HTTP:
python -m SimpleHTTPServer
By default, it binds to port 8000.
To choose another port:
python -m SimpleHTTPServer 9000
You can even have CGI support if you use CGIHTTPServer instead. Just make sure that the CGI scripts are in a cgi-bin subdirectory.
SimpleHTTPServer and CGIHTTPServer are python modules that come bundled with standard python installs.
I'm pretty sure that most scripting languages have similar tricks, python just happens to be my favorite swiss army knife.
Of course, python is much bigger than a single small standalone executable, but it just happens to be installed on every computer I ever touch.