JSmooth
(EDIT: Last release was in 2007)
JSmooth is a Java Executable Wrapper. It creates native Windows launchers (standard .exe) for your java applications. It makes java deployment much smoother and user-friendly, as it is able to find any installed Java VM by itself.
JexePack
(EDIT: Shareware: Last updated in 2012)
JexePack is a command line tool (great for automated scripting) that allows you to package your Java application (class files), optionally along with its resources (like GIF/JPG/TXT/etc), into a single compressed 32-bit Windows EXE, which runs using Sun's Java Runtime Environment. Both console and windowed applications are supported.
LaunchAnywhere
(EDIT: Commercial with Free Trial, Last version is from 2012)
A LAX Executable is an executable file that is used to launch a Java application on any LaunchAnywhere-compatible platform. Currently, InstallAnywhere creates LaunchAnywheres on Windows 95/98/NT/2000/Me, Solaris, Linux, and Mac OS X. LaunchAnywhere enables end-users to double-click on an icon (Windows or Mac OS X) or type a single command (UNIX) to start a Java application.
See also for reference Convert Java to EXE: Why, When, When Not and How
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