EDIT: check out this newer thread for updates: http://www.scirra.com/forum/space-blaster-for-windows-demo_topic53658.html
Exporting an EXE still seems to be a popular feature request. Most EXE-around-HTML5 wrappers I've tried have all been too slow or had other shortcomings, but Awesomium just released 1.7 with WebGL support. I've tried it, and it seems fast enough for smooth gaming on the desktop. Since it supports WebGL, it should be comparable in performance to a native runtime, and you still get to use all your favourite third-party plugins and behaviors.
Awesomium is based on the open-source Chromium (the Google Chrome browser engine, which IMO is the best). You need a license to use Awesomium, but only if you made over $100K in revenue in one year, so it should be free for most indie devs (more info on their site).
I've made a test demo - note the Awesomium 1.7 release itself is currently alpha, and this implementation of the wrapper is also alpha, so please think of it as a proof of concept only!
The test demo just loads Space Blaster live from the web. Obviously when finished it will embed all your project files inside the EXE so no connection is necessary - this is just a simple test of the wrapper technology. Note the zip is 14mb, which is quite a large file size overhead compared to the size of the game, because it includes the entire Chrome browser engine. It shouldn't be too much bother since most have broadband these days.
I noticed a few sound glitches too BTW, but they cleared up after a while. Having sounds embedded in the EXE will probably help fix that, I hope.
Here's the test:
Give it a test and see how it runs for you.
Please note: we may make this a licensed-only feature.