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Some, like Loki, had an installer on the CD called loki_setup. A modern version of this, MojoSetup, is still used for many native Linux games. Everything on GOG for example.
(If you do go back in time to run such an installer, remember to manually run "eject /dev/cdrom" to get your disc out, because pressing the physical eject button on the drive did zilch back in the day...)
Others, like id Software, was a more unofficial affair. It was usually either an installer or a compressed archive with game binaries to download and use with the Windows release of the game. You had to finger John Carmack to find out what was new in the world of Quake and then download the new patch with FTP.