NSIS will give you an exe, WiX will give you a MSI.
I have used NSIS to package up a couple MSI installers into a single exe and do some additional checking I couldn't figure out how to do using the VS.NET Setup project.
INNO Setup is another installer you may want to look at. It is closer to NSIS than WiX but the installers it makes look more like standard installers than NSIS installers do.
I did not use WiX because I did not like the XML definition language used to build the installer and I couldn't figure out if it supported packaging up other dependent MSIs
Of the three I liked NSIS best as it had the best documentation.
