Note that in order to be able to smartlink, you must compile the LCL and all packages as smartlinkable -CX
This is the last thing that comes into my mind, Lazarus apps won't differ too much between platforms.
Why? It is a valid reason.
Of course, if you do not smartlink on w32, you might get a bigger exe too. I did not test that.
I just noted that I get the exact 5 MB that Borneq got (on linux/gtk2). And I found it was because my LCL was not compiled with -CX. Neither was the project with -XX
I do not know what the setting are, if you installed lazarus via rpm or the like. All my installs are from SVN. So I have to get settings right myself.