Storing or loading a sketch from a proto-shield. Install shield..sketch loads.

I am working on my first project to make something. I don't want to have to buy an Arduino for each new project. I am looking at using a shield so I can easily connect / disconnect the Arduino mega from the project.
This made me think about the sketch.. is there a method to store or load the sketch from the protoboard so it self installs (or with little help without a computer).

Plug and play prototype device.

is it worth looking into?

Project Summary. Turning a wooden cigar box into 2 player tic tac toe. Green leds for X, Red for O. Recessed dome buttons in lid of box. will skin the top of the box with paper graphics covered in clear contact paper. Once done I would like to be able to hook it up easily to demonstrate and unhook arduino for use in other things. I wondered if it would be possible to skip the step of re-uploading the sketch via computer. I am still working on the project itself and not ready for this step but wanted to throw the concept out there of plug and go shields with embedded sketches.

You would need so much storage and processor on board the shield that it would be equal to the Arduino. So then why demand that you plug in an Arduino when the shield could just run the sketch standalone?

Also, how would you update the sketch on the shield?