Nothing unless you want to serve them without some other way to see what file type they are.
You can run bash scripts with bash.
Don’t know what a desktop file is.
HTML has that because webservers used to not have auto media type detection and response headers.
.desktop files are a Linux/Unix thing. Basically, it’s a fancy shortcut, usually to an application, which allows specifying additional infos, like e.g. translated names.
In particular, the contents of the application menu are defined by just a folder filled with .desktop files.