Let my try to answer the various proposals:
“no installer” / “just send the jar” - doesn’t set up stuff like start menu entries and file associations. Otherwise I’d be fine with that, but… well, it’s better to meet expectations.
JME SDK mechanisms: Won’t work for me. I’m using just the engine in an Eclipse project. I even uninstalled the SDK after a few minutes of fiddling and general unfamiliarity aches. Not that I’m saying that either IDE is better, mind you, just that I’m more familiar and hence more productive with Eclipse right now.
Daemon/service: just for those who want to host a shared universe (it’s a networking multiplayer game).
OTOH a LAN party game could run just like a normal application, and a 24/7 server would probably be a Linux box where it’s easy to run user processes in the background, so this is probably not really necessary.
wix and other Win-only installers: I’d like to avoid that if I can have a cross-platform one. One less tool to learn.
A separate tool per platform would be the fallback if no good cross-platform one shows up.
Does wix run on Linux? Without that, I can’t use it.
MSI: I hope whatever tool I use will be able to generate that. A .exe would probably be fine, too.
App Stores: Probably not.
a) I don’t like the walled garden building that’s going on in most (all?) of them
b) I’m not targetting the markets reachable through them - I don’t want to bet on Win8’s success, and I have no idea how to control touchscreen games so the mobile market is not on my radar.
Shell script: Looks nice 
I first thought it was assuming that ~/.local/share/applications is in the PATH, but on second look, that’s just the .desktop file.
It does not seem to move the application to ~/.local/share/svansprogram though, which is what I’m seeing other applications do.
Such things are one reason why I like to use the tool. People who build such a tool can take care of more details than I’d have the capacity to learn and, more importantly, keep up with. (But the shell script is still a very nice fallback in case I’m not finding a readymade tool.)
Points that haven’t been addressed yet:
- Maven plugin? (Eclipse plugin would be the fallback.)
- JRE bundling ability?
- Can deal with native libs?