JexePack allows you to deploy your Java application, along with its resources (like GIF, JPG, JNI DLLs, etc), into a single compressed 32-bit Windows EXE that targets Sun's Java Runtime Environment. Supports an EXE an a Windows NT service.

A great way to deploy your Java application as a Windows EXE because your end-users only see a standard EXE (with a nice icon that you define) -- and your program is still all Java and run by a Java VM.