MySQL 4.1 setup built with the WiX toolset.
Microsoft has included an improved version of their Microsoft Windows Installer (MSI) in the recent versions of Windows. Using the MSI has become the de-facto standard for application installations on Windows 2000 and Windows XP. The new MySQL server installer now also makes use of this technology to provide a smoother and more flexible installation progress.
Further, Microsoft has introduced the WiX (Windows Installer XML) toolset recently. It is the first, highly acknowledged Open Source project from Microsoft. We switched to WiX for two reasons. First, it is an Open Source project and second, it allows us to handle the complete Windows engineering process in a flexible way with scripts.
I have a lot of respect for the MySQL team. They always seemed to be smart about building what their customers needed then added necessary features over time. I really enjoyed working with MySQL back in university on a couple class projects. I can't tell you how happy I am that the MySQL team picked the Windows Installer XML toolset. I'm especially happy they picked the WiX toolset for the two reasons they list.
Finally, I just wanted to comment that even though I'm not big on UI during installation, the screenshots they provide are particularly snazzy looking. Just goes to prove that you can do really nice UI with the WiX toolset if you're willing to put the effort in. Again, fundamentally very cool.