Here's the recap from the discussion so far. I'm only considering
win32 platform, nothing else. Please pitch in if I didn't get it
right this time:

1. OCaml 3.11 will have a non-replaying bytecode debugger that runs
on native ports (built with msvc or mingw).
2. OCaml requires an installed C compiler, linker and assmebler
-- same ones as used during build - to link with native code.
3. Bytecode OCaml requires no external tools to "compile" and run
OCaml code that does not call upon newly defined native functions.
4. ocamlopt does require assembler and linker to produce the executable.
5. OCaml requires at least msys to build itself using either msvc or mingw
compilers. msys is provides bash, make and friends. OCaml does not
build using nmake.
6. ocamlopt can use either ml or masm for assembler; ml comes with
recent Visual Studios. When ml is not present, it would be good
to have it use nasm instead.

Cheers, Kuba