Lazarus—"a free Delphi".
It's able to do static builds (I think this is even the default) so you should be able to create self-contained executables.
Plain "old" Microsoft Visual Studio (might require distributing the VisualC++ runtime so might be not suitable).
If you do not need GUIs, then the possibilities are wider:
- Any powerful compiled language such as Go or D, Haskell.
Scripting languages working on Windows include (but are not limited to) Tcl, Python and Perl.
I'm not sure for the latter two, but Tcl has tools which allow creation of self-contained executables which include both your program and all the packages it needs. And it has native Windows GUI toolkit, by the way, which also assigns it to the first category.
- Native scripting via Windows Scripting Host (WSH) can be done through JScript and VBScript.