For smaller installers; in addition to NSIS's use of the
7-zip LZMA SDK for high compression ratios of the data,
UPX can be used with NSIS to compress the exe header of an NSIS installer to shave a few more KB off the installer.
like so:
!packhdr "tmp.dat" "c:\upx\upx.exe -9 tmp.dat"
aside: 7-zip can now be used to open compiled NSIS installers (though it will not extract the original nsi script, there was a beta released that did however...)