There's been a lot of talk lately of extending websites out from the browser (Silverlight, Expression Blend, Adobe AIR) and recently I found about Mozilla Prism. Mozilla is now at the point where they are releasing a new prototype that splits a website out of Firefox and installs it as a separate application on the desktop. (Go to this blog post to find out more, and scroll about halfway down the page to see a screenshot of the menu item in Firefox).
The user experience of this is interesting — it's a one click operation from the browser with nothing to install, nothing to wait for — it's just all part of the browser with a desktop icon. If it all works as described, it's much simpler than other options out there.
This will be an interesting space to watch, and I'm starting to think about how the websites we build today are going to change into much richer applications in the future, where a user can choose how and where they want to run them.