Yes that's true if you mean "easter eggs" when you say "fortune cookies". Lots of program have that things, even some MS ones. Just search google for "easter eggs" and you will see lots of info about that. B)
You can also download the zip package instead of the exe and then make your own sfx installer. That's the way I do it, so I can reshack the exe to change the icon (I don't like it) and finally install it unattended at runonceex stage.