Deploying desktop applications written in Java has always been a problem. Having experienced them myself numerous times, I can say that its a nuisance that has to be tolerated. 
But not anymore. JSmooth is here to smooth out your experience as well as that of your client. Its a wrapper which creates Windows EXE files from Java JAR files, so that all the end user has to do is double-click the EXE file like in case of any other software. This EXE will automatically detect any version of JVM which is installed on the host machine & run the Java application. If JVM is not found, like a gentle-bot, it opens the user’s browser explaining how they can get JVM. 
I say, that its a must for every Java Developer. 
Thanks to Rich for giving the link.
Unfortunately, JSmooth appears dead. The last release, 0.9.7 was dated 2004-03-15 15:00.
Yeah, its been more than an year!! I didn’t check back again after posting this as I haven’t done any Java for more than an year now. Sure looks like its no longer active. Too bad!!
That was one project that was worth activity in Java.
Maybe someone else can revive that!!