So you are asking which types of files can be run? That also depends on the operating system. With Windows XP, the default file types that can be run without specifying the extension would be .COM, .EXE, .BAT, .CMD, .VBS, .VBE, .JS, .JSE, .WSF, .WSH. So you could have any of the following:
RUN.COM
RUN.EXE
RUN.BAT
RUN.CMD
RUN.VBS
RUN.VBE
RUN.JS
RUN.JSE
RUN.WSF
RUN.WSH
You can look at your PATHEXT environment variable to verify this on your system.
echo %pathext%