PDF gets most votes, but there are those who prefer .exe. I offer both. Activ Ebook Compiler is my favorite program for that, with EasyEbookCompiler second. AEC is $30 and EEC is $49, I think. Ebook Pro is probably a great compiler, but just now, $197 is more than my budget will allow.
I am a software junkie, so one day when I can afford it, I may go after Ebook Pro.
I do buy .exe eBooks. I don't feel they are unprofessional. They're just another choice. I've bought PDFs that were designed in haste and not very well edited. For me, the format isn't the issue, it's the time and care the author put into his/her product in the first place.
As a fiction author/sef publisher, I love designing in HTML, probably more than I do for PDF. Anchoring images so they don't travel or having my chapter heading begin in the wrong places are a couple of headaches I'd like to be able to solve. This doesn't happen in my HTML projects.
Those who download the freebies, enter my giveaways and contests, or buy the full book are equally divided between the two formats. That could change, I know. But for now, I'll keep offering both formats.