Tamir Khason published an interesting approach at hosting standalone Silverlight applications.
His solution is a Windows.Forms application that hosts a Windows.Forms.WebControl and inside the WebControl he hosts Silverlight.
Unlike my proposal for standalone Silverlight Applications that is currently Moonlight-specific (and currently limited to Linux/X11) this approach works on Windows with .NET and with Linux using Mono and Moonlight:
Left side: .NET hosting WebControl and Silverlight on Windows; Right side: Mono hosting WebControl and Moonlight running on Linux.
In addition to hosting the WebControl for hosting Silverlight, a thread is running to dispatch http requests locally using HttpListener. HttpListener is an embeddable HTTP server that is part of the class libraries, and exposes a very limited API. You can host ASP.NET with HttpListener by doing the bindings by hand, or you could use our Mono.WebServer library (part of our XSP/mod_mono distribution) to allow your applications to have a fully hosted ASP.NET server.
Mono.WebServer is what iFolder uses to embed the ASP.NET server to expose SOAP-based WebServices to clients.
Of course, this currently does not work on MacOS X as we do have no implementation of WebControl for Windows.Forms on OSX, something that a contributor might want to look into.
You can get the source for the sample from Tamir's page.