What's the best way to distribute Java applications?
There are a variety of solutions, depending on your distribution requirements.
Just use a jar. This assumes that the user has the the correct java version installed, otherwise the user will get "class-file format version" exceptions. This is fine for internal distribution inside a company.
Use launch4j and an installer like NSIS. This gives you a lot more control, although the user can still do stupid stuff like un-installing the java runtime. This is probably the most popular approach, and what I currently use.
Use Webstart. This also assumes that the user has the correct java version installed, but it's a lot easier to get going. My experience is that this is fine for tightly controlled intranet environments, but becomes a pain with larger deployments because it has some many weird failures. It may get better with the new plug-in technology in Java 1.7.
Use a native-code compiler like Excelsior JET and distribute as a executable, or wrap it up in an installer. Expensive, and it generally ties you to a slightly older version of java, and there is some pain with dynamic class-loading, but its very effective for large-scale deployment where you need to minimise your support hassles.
advanced installer makes it easy to package java apps as windows executables, and it's quite flexible in the way you can set it up. I've found that for distributing java applications to windows clients, this is the easiest way to go.
JSmooth is a simple program that takes your jar and wraps it up in a standard windows executable file. It comes with a simple GUI that allows you to configure the required JVM, bundle it with the application or provide an option to download it if it's not already installed. You can send the exe file as is or zip it with possible dependencies (or let the program download the extra dependencies from the net on startup). It's also free, as in beer and speech, which may (or may not) be a good thing.