- I think there are tools to wrap a JAR in a Windows PE (EXE) file too. (http://jsmooth.sourceforge.net/index.php)
One tool I would recommend for this purpose is Launch4j.
@warnexus It looks like you're targeting Windows, but if you target other platforms you could build one executabe wrapper for each platform.
I once had a problem where I created an executable JAR file that worked by double-clicking on my computer but it didn't work on another computer. It could have been an issue involving a JRE difference. The other advantages of using a tool such as Launch4j is that JRE differences are handled automatically (you either bundle your JRE version or you set a min and max version) and you don't have to worry about the user having to set the Java path.