Thanks for your motivating words, V_Software!
There are actually two solutions to get an EXE from a Java .JAR archive:
1.) Wrap it into a loader. Looks and feels like an EXE but it just invokes the JVM with JAR contained in the EXE data.
2.) AOT compilation (Ahead Of Time): you take a JAR and use an AOT compiler which compiles the whole code as x86 executable BEFORE running the code. There are only a handful approaches to this available and the best known is Excelsior JET. It is free for non-commercial use, though. If you are a big company, you pay 1.000 - 2.500 $, if you are a small company or academic, you pay less. I am not 100% sure if they support every feature of the current JDK version. There is also an open source GNU Java Compiler (GJC), but the last news were from September last year and I highly doubt that they are compatible and good enough.
I primarily have this thing as experimental project in mind. I don't want to make real games with this in a first place.