I checked out the code from the CVS server, opened a terminal and cd'ed to my jme path: ~/jme/jme
Then I tried to start the first sample file by running: java -Djava.library.path=./lib -cp ./lib/lwjgl.jar:./lib/jogg-0.0.7.jar:./lib/jorbis-0.0.15.jar:./target/jme.jar:./target/jme-awt.jar:./target/jme-effects.jar:./target/jme-model.jar:./target/jme-sound.jar:./target/jme-terrain.jar:./target/jmetest-data.jar jmetest.effects.TestDynamicSmoker
(Here I already replaced all ";" with ":" and entered the most recent versions for jogg and jorbis.)
And all it comes up with is: Exception in thread "main" java.lang.NoClassDefFoundError: jmetest/effects/TestDynamicSmoker
After that I added ":./build/" to the classpath and everything worked :) Maybe the "Getting Started" pages could have this added? ;)
copy all .dll's (for windows), .jnilib's (for mac) or .so's (for linux) to your java library path. (In linux and mac this is /usr/lib, for windows I don't know)
Both of the above solutions have a very serious shortcoming: they "save" you from having to think about which classes are on your class path, and which are not.
While this may look like a good thing at first, because you really want to make a cool game, not bother about how jME/java magically make that possible for you, it is, in fact, a bad thing. You will painfully notice that once you want to show off your cool game to a friend, on their computer. It can get really tedious to explain to your standard issue non-computer-geek how they find out where their jdk's ext/ directory is, or how they identify those ".jar" files you keep talking about!
After all the preaching, now here's a somewhat more "correct" solution to your troubles: instead of adding the ./build directory to the class path, as Teradil suggests, try adding jars from the target folder, until the application runs for you. This also gives you a first impression of how jME is organized into different jar files.
Note that I only use this method on my development computer, because that's a lot easier, I don't have to type the whole classpath each time I've modified something, and I don't need to modify anything in NetBeans, Eclipse, or any other IDE. I just compile with "javac *.java" and run with "java game". But on my computers where I test my game, I've to use a shell script, with all these libraries pre-included. Also, I ask some of my friends to test my game, and if they cannot run it, and I can run it on my development computer and not on my testing computer, I know something is wrong with the shell script. That means I can easily modify the shell script and send the modified version to my friends, without even having to explain where to find the ext directory, or even what was wrong.