See the 3 tutorials for the new 0.2c beta release of the Blender ⇒ jME Exporter. Among other things, animations are covered.
These tutorials are listed at http://www.jmonkeyengine.com/wiki/doku.php?id=the_tutorials_-_jme_2#modeling_tutorials.
UPDATE: Just now fixed an issue. The screenshots in the Skeleton section of the animation tutorial are visible again.