Mac OS X has a beautiful picture-based screen saver  ("Slide Show")
that will animate still images by zooming and panning them, and
transition smoothly between images with cross-fadding. What I am
looking for is software that can create self-contained screen-savers
of the same kind for Windows. By self-contained, I mean that the
software would create a single executable file that includes a collection of
 images chosen by me, that  I can redistribute to end users, who would
use them without having to do any settings. Commercial software is OK
as long as the price is not excessive.

So far, I found the Motionpicture screensaver, 
http://www.cs.ucr.edu/~gstitt/motionpicture/
which does what I want, except for one thing: it does not produce
self-contained screen savers.  
I saw many screen saver creation
software packages, but none appear able to do exactly what the Mac OS
X does. If you are answering this query, I assume that you have seen the
Mac OS X "slide show" screen saver in action.  Thanks.

The program Revolution ( http://www.runrev.com/ ) creates
multi-platform binaries that can do all sorts of basic things. I know
for sure that their scripting code supports fading of objects - I'm
not sure about panning or zooming, however. Nevertheless, you may want
to take a look. Beware - learning how to create programs requires much
patience.