Java Exe Maker - exe4j. exe4j is a Java exe maker that helps you integrate your Java applications into the Windows operating environment. exe4j helps you with starting your Java applications in a safe way, displaying native splash screens, detecting or distributing suitable JREs and JDKs, startup error handling and much more. [Java-Channel]
I've wanted one of these things for ages...
There's this sort of thing inside ZeroG's Install Anywhere. They have a well-hidden, but totally free version of the product called Install Anywhere Now!. It's like 40megs, but it produces a sweet install program for your app. It's got this generic .exe that reads from an XML file to set up and launch your app. I'm going to use it for the much-much delayed Journal project.