Thanks to Mattias Gaertner on the Lazarus mailing lists, I've finished bare metal install functionality. You should be able to download fpcup.exe on a plain windows machine, and it will download a Subversion client, bootstrap compiler, and binutils (make.exe, gdb.exe etc).
Then it will download FPC & Lazarus sources from SVN, compile and install them.
Next step: world dominance through support of Linux/OSX and getting offline help working out of the box.