Belatedly spotting the March '12 update to the Scala.net story, a very brief "Hello, World"
path\to\scala-bin\scalacompiler.exe -d path\to\output -target:exe -Ystruct-dispatch:no-cache -Xassem-name HelloWorld.exe -Xassem-extdirs path\to\scala-bin -Xshow-class HelloWorld -Xassem-path "C:\Windows\Microsoft.NET\Framework\v4.0.30319\System.Windows.Forms.dll" hw.scala
where giving "." as path\to\output will put the new executable in the same folder as the scala compiler.
You now need to copy all the dlls (apart from mscorlib and the other System.* files) out of that folder into your output path folder. Then
Still slightly painful to actually perform the build, but definitely getting there. Still needs a stress-test.