Naked JAR files aren't much better. In order to best integrate with the OS, you will probably have some runtime-specific settings that you'd like to apply (such as memory, or GUI specific-settings). If you just distribute a JAR, that can't be easily set.
For Linux and Mac (command-line only) I've gotten into the habit wrapping up a JAR in a shell script to make one single file to distribute. The shell script can set all of the JVM flags that I need, and it can be run just like any executable. This doesn't solve the problem of adding icons, or the like for GUIs, but for command-line programs, it works great.