I know of Launch4J which can create a native Java launcher for a program. Then there’ Install4J/exe4J. Apparently InstallAnywhere (cross-platform version of InstallShield) can create installers and launchers for Java. There’s also Excelsior JET for compiling directly to native.
Does anyone have any recommendations as to which solutions are good? I know Launch4J is free, so it’s probably the easiest solution.