It’s a bit depressing to see a newbie here facing the same crappy problems I faced years ago before I decided to cheat.
But in any case:
Build your game first. If you want to deploy it you have 6 options, all of which have advantages and disadvantages. In order of increasing hassle and pain:
1. Deploy with Webstart, assume user has a VM installed. 
Complexity: trivial
Advantages: small payload
Disadvantages: generally computers don’t have a JVM installed. Overall Webstart experience is still pretty awful.
2. Deploy with native installer and maybe exe launcher, assume user has a VM installed. 
Complexity: trivial
Advantages: small payload
Disadvantages: generally computers don’t have a JVM installed.
3. Deploy with native installer, download system VM if necessary in installer script. 
Complexity: slightly fiddlier
Advantages: almost guaranteed to work
Disadvantages: Extra unexpected download for many users.
4. Deploy with native installer, bundle VM inside game 
Complexity: slightly fiddlier
Advantages: trivial, guaranteed to work, easy to work with
Disadvantages: large payload
5. Deploy with native installer, bundle sneaky small VM inside game
Complexity: pretty fiddly
Advantages: guaranteed to work, very small payload, easy to work with
Disadvantages: Grey legal area. Ahem. Use any AWT at all and you might as well bundle the whole VM.
6. Compile natively with Jet
Complexity: pretty fiddly
Advantages: can’t use a lot of Java classes. Very high performance.
Disadvantages: Expensive. Use any AWT at all and you might as well bundle the whole VM. Difficult to work with.
7. Compile natively with GCJ
Complexity: ultrafiddly
Advantages: can’t use a lot of Java classes. Use any AWT at all and you might as well bundle the whole VM.
Disadvantages: Incredibly difficult to work out. Questionable performance. Gain versus pain ratio also questionable.
If you use ANY AWT code at all, you won’t be able to use #5, #6, or #7 to any real advantage.
None of this applies to the Mac. And forget about Linux if you want to actually make more money than the hair replacement therapy it will cost you.
Cas 