It's rather a pain in the ass for antivirus products, which tend to have a nesting limit to prevent these kind of shenanigans.

There are much weirder things you can do. With knowledge of what's packing it and if the packer doesn't bail out on expanded files (like, say, LZMA2 used in XZ does, but the older LZMA doesn't), you can make a small file which tickles every worst-case performance/size wrinkle in the cruncher and comes out very large!

I thought executable compressors had reached a plateau until Mentor/TBC & Blueberry/Loonies came up with crinkler - http://crinkler.net/ - which is a compressing linker specialised for demoscene 4ktros, and cheats like a motherfucker.