C (unportable), 24 18 13 characters
()+,1;=aimn{} This covers all programs of the form
main[]={<sequence of constants>}; ...where the sequence of constants (of the form 1+1+1...) contains the machine code representation of your program. This assumes that your environment permits all memory segments to be executed (apparently true for tcc [thanks @Dennis!] and some machines without NX bit). Otherwise, for Linux and OSX you may have to prepend the keyword const and for Windows you may have to add a #pragma explicitly marking the segment as executable.
As an example, the following program written in the above style prints Hello, World! on Linux and OSX on x86 and x86_64.
main[]={11111111111111+1111111111111+111111111111+111111111111+111111111111+111111111111+111111111111+11111+1111+1111+1111+1111+1111+111+111+1,1111111111111111+1111111111111111+11111111111+1111111111+11111111+11111111+111111+1111+111+111+11+11+1+1+1+1,111111111111111+11111111111+1111111111+1111111111+1111111111+1111111+1111111+111111+111111+111111+111111+1111+1111+1111+111+111+111+111+11+11+1,111111111111111111+11111111111111111+111111111111+111111111111+111111111+111111+111111+111111+111111+1111+111+11+11+11+11+11+11+11+11+11+1+1+1+1,11111111111111111+111111111111+111111111+111111111+111111111+111111111+11111111+11111111+11111+1111+1111+11+11+11+1+1+1+1,111111111111111111+11111111111111+1111111111111+1111111111111+111111111111+111111111111+11111111111+111111+111111+111111+111111+1111+11+11+11+1+1+1+1+1,11111111111111+1111111111+1111111111+1111111111+1111111111+111111111+1111111+1111111+111111+111111+111111+1111+1111+1111+1111+1111+1111+111+111+111+111+111+11+1+1+1,111111111111+111111111111+11111111111+11111111111+11111111111+11111111111+1111111111+1111111+1111111+1111111+11111+11111+11111+111+11+11,111111111111111+11111111111111+1111111111+111111111+111111111+111111111+1111111+111111+111111+11111+11111+11111+11111+11111+1111+1,1111111111111+1111111111111+1111111111+111111111+11111111+111111+111111+111111+111111+111111+111111+111111+11111+111+111+111+11+11+11+11+11+1+1,111111111111111111+11111111111111+11111111111+11111111111+1111111111+1111111111+1111111111+111111111+11111111+1111111+111111+111111+1111+1111+1+1,1111111111111111+111111111111+11111111111+11111111111+11111111+111111+111111+111111+111111+111111+1111+1111+1111+1111+1111+111+111+111+111+111+111+11+11+11+11+1+1+1+1,111111111111111111+11111111111111111+1111111111111111+11111111111+111111111+11111111+1111111+1111111+111111+11111+1111+111+111+111+11+1+1+1+1+1+1+1+1+1,11111111111111111+11111111111111111+11111111111111111+11111111111111+1111111111111+11111111111+11111111111+1111111+1111+1111+1111+1111+1111+1111+1+1+1+1+1,111111111111111111+111111111111+11111111111+111111111+111111+1111+1111+1111+11+11+11+1+1+1+1+1+1+1+1+1,11111111111+11111111111+11111111111+1111111111+111111+11111+11111+11111+11111+1111+1111+1111+1111+1111+1111+1111+111+111+1+1,1111111111111111+1111111111111111+11111111111111+1111111111111+111111111+111111111+11111111+1111111+111111+11111+11111+11111+11111+111+111+11+11+11,11111111111111111+11111111111111111+1111111111111+111111111+111111111+11111111+111111+111111+111111+111111+111111+111111+11111+111+111+111+11+11+11+11+11+1,111111111+11111+11111+111+1}; C (gcc) (unportable), 24 18 13 8 characters
+1;=aimn It is possible to build any program using fewer than 13 distinct characters by abusing the linker and laying out the machine code in such a way that it spans several scalar variables. This technique is much more sensitive to toolchain particulars. The following is the above program converted to this format for gcc
main=11111111111111+1111111111111+111111111111+111111111111+111111111111+111111111111+111111111111+11111+1111+1111+1111+1111+1111+111+111+1;mainn=1111111111111111+1111111111111111+11111111111+1111111111+11111111+11111111+111111+1111+111+111+11+11+1+1+1+1;mainnn=111111111111111+11111111111+1111111111+1111111111+1111111111+1111111+1111111+111111+111111+111111+111111+1111+1111+1111+111+111+111+111+11+11+1;mainnnn=111111111111111111+11111111111111111+111111111111+111111111111+111111111+111111+111111+111111+111111+1111+111+11+11+11+11+11+11+11+11+11+1+1+1+1;mainnnnn=11111111111111111+111111111111+111111111+111111111+111111111+111111111+11111111+11111111+11111+1111+1111+11+11+11+1+1+1+1;mainnnnnn=111111111111111111+11111111111111+1111111111111+1111111111111+111111111111+111111111111+11111111111+111111+111111+111111+111111+1111+11+11+11+1+1+1+1+1;mainnnnnnn=11111111111111+1111111111+1111111111+1111111111+1111111111+111111111+1111111+1111111+111111+111111+111111+1111+1111+1111+1111+1111+1111+111+111+111+111+111+11+1+1+1;mainnnnnnnn=111111111111+111111111111+11111111111+11111111111+11111111111+11111111111+1111111111+1111111+1111111+1111111+11111+11111+11111+111+11+11;mainnnnnnnnn=111111111111111+11111111111111+1111111111+111111111+111111111+111111111+1111111+111111+111111+11111+11111+11111+11111+11111+1111+1;mainnnnnnnnnn=1111111111111+1111111111111+1111111111+111111111+11111111+111111+111111+111111+111111+111111+111111+111111+11111+111+111+111+11+11+11+11+11+1+1;mainnnnnnnnnnn=111111111111111111+11111111111111+11111111111+11111111111+1111111111+1111111111+1111111111+111111111+11111111+1111111+111111+111111+1111+1111+1+1;mainnnnnnnnnnnn=1111111111111111+111111111111+11111111111+11111111111+11111111+111111+111111+111111+111111+111111+1111+1111+1111+1111+1111+111+111+111+111+111+111+11+11+11+11+1+1+1+1;mainnnnnnnnnnnnn=111111111111111111+11111111111111111+1111111111111111+11111111111+111111111+11111111+1111111+1111111+111111+11111+1111+111+111+111+11+1+1+1+1+1+1+1+1+1;mainnnnnnnnnnnnnn=11111111111111111+11111111111111111+11111111111111111+11111111111111+1111111111111+11111111111+11111111111+1111111+1111+1111+1111+1111+1111+1111+1+1+1+1+1;mainnnnnnnnnnnnnnn=111111111111111111+111111111111+11111111111+111111111+111111+1111+1111+1111+11+11+11+1+1+1+1+1+1+1+1+1;mainnnnnnnnnnnnnnnn=11111111111+11111111111+11111111111+1111111111+111111+11111+11111+11111+11111+1111+1111+1111+1111+1111+1111+1111+111+111+1+1;mainnnnnnnnnnnnnnnnn=1111111111111111+1111111111111111+11111111111111+1111111111111+111111111+111111111+11111111+1111111+111111+11111+11111+11111+11111+111+111+11+11+11;mainnnnnnnnnnnnnnnnnn=11111111111111111+11111111111111111+1111111111111+111111111+111111111+11111111+111111+111111+111111+111111+111111+111111+11111+111+111+111+11+11+11+11+11+1;mainnnnnnnnnnnnnnnnnnn=111111111+11111+11111+111+1; It is possible to represent any program with 5 distinct characters +1;=a by replacing main with a shorter entry point.
Thanks to @Bubbler for 8 -> 5
Edit: More compact encoding in example programs.