I noticed that exploits which use Return Oriented Programming always find the gadgets in libraries. I wonder if it is possible to use gadgets from the executable (.exe) itself?
Yes, absolutely, of course it is possible to use gadgets that are from the executable itself. You can use any code that is mapped into the address space of the program in executable form (i.e., where it's possible to execute the code -- if the system is using DEP, this excludes anything that has the non-executable bit set). That includes the original executables, any libraries that are loaded into memory, and anything else in memory that has its permissions set to executable.