On an iPhone, you can choose "Add to Home Screen" from any web app, and it'll be installed as a new application. Safari supports lots of HTML5 features, so these are available to the application as well. What about doing this on the desktop?
Although Firefox 3.5 supports HTML5's localStorage method, Prism apps don't. Update: using the latest (1.0b2) version of Prism, which installs as a Firefox extension rather than standalone, Prism apps have access to everything Firefox does!
Although you can create a new profile in Firefox 3.5 and an Application Bundle to launch it, you can't change the Dock icon for the launched app.
Although Opera 10.5 (currently pre-alpha) supports both "Web Storage" and "Web SQL", it has (temporarily) lost the ability to create standalone applications. There's also no Prism-like feature to save a web page as a standalone application, but it's easy enough to create a simple widget that contains a remote object (unzip the .wgt file to see the contents).
Google is moving away from Gears in favour of HTML5.
Chrome's "Create application shortcuts" (a.k.a. "App Windows") doesn't work yet on OS X.