The answers so far miss one crucial point: Runtime packages are useful in the same way as DLLs are useful if you have a suite of applications that work together and are installed together. You could of course link the VCL and third party libraries into all of them by building them without packages, but depending on the number of applications and used libraries the size of these applications combined will be larger than the size of them built with runtime packages plus the size of those runtime packages. This will make for larger setup packages, which isn't the big issue it once was.
But using all these applications at the same time will also bring a much higher load for the system. Since every application uses its own copy of the VCL and the other libraries all these need to be loaded from disc into memory, which causes more I/O. And then there will be several copies of them in memory, each taking up space for the code. When runtime packages are used each application will have its own memory area for data, but they will all share the same copy of the packages' code in memory.
For a single self-contained application without any special needs definitely build without packages.