There are several attempts to create application installers for Linux. The most known one is the Loki Setup.

Loki Setup

Loki Setup is an installer written by the now closed Loki Software, a company that specialized in Linux ports of games. Loki Setup is still maintained and written mostly for installing games.

Mojo Setup

Mojo Setup is an installer written by Ryan C. Gordon ("icculus") best known for his porting work on various big games to Linux and hosting various open source game related projects like ioQuake3 and ioDoom3. Mojo is the defacto standard for new Linux releases. Screenshot of the installer: Warzone 2100 installer.