Have you checked jmetest.renderer.TestSimpleBoneAnimation yet? It shows how to create a skeleton with a skinned mesh programmatically in a very short, but complete example.
I remember using it when first creating the animation…I'll give it another look, thx.
Edit: I gave it a look over again and low and behold I wasnt setting my skeleton to the correct bone…lol.
Glad it helped
BTW, I am currently developing a skeletal animation loader as well, could you have a look at http://www.jmonkeyengine.com/jmeforum/index.php?topic=6277.msg50309#msg50309 and maybe add some info there?