Is it possible to play flash without flash-player installed? I heard that SWF file and flash player itself may be included into one EXE file.
That is correct although you can also make it a .app file to but the .exe is a windows supported version. I don't know if linux is supported because it may use windows byte code(C# or VB generated) which only windows can translate into opcode for the processor. Its a publishing option in Flash Creative Suites.