according to the initrd documentation, the purpose of initrd is to pre-load the correct modules in a more reliable way than modprobe. Mkinitrd flatly refuses to run against the nonmodular kernel I have built.
I'm also a little bit surprised that things in /sbin aren't all statically linked any more; I think that requirement went away some time ago.
There's this "initial ramdisk" thing now that looks really exciting: apparently you list files or directories and those things get cpio-ed up and bundled right with the bzImage, which strikes me as an excellent way to put together a pocket router or a good rescue disk image:
Never mind a rescue filesystem, just copy this file to your boot partition and add a rescue option in grub.conf!