Ah - not necessarily a self-executing file - a fatjar still depends on having the JVM installed on the box. I guess I was asking if there is a way of packaging an F# script or app so that it can be installed on a server with a simple wget from Bintray? So all dependencies vendored in.
F# applications are compiled to ordinary .NET executables, so you can look at how other .NET applications are packaged on *nix. Basically, you can package them as you would any other software, though it would help to either have .NET executables configured to launch with mono via binfmt_misc (on Linux), or have a small launcher script to do the 'mono myapp.exe' invocation.