I have had good experiences with two different approaches:
1) Use the fatjar plugin with eclipse to create a single jar file with all the jars you need embedded (uses a custom classloader). This creates a clickable jar file (if it is a GUI program). If you need console output for this Jar wrap it with jsmooth as described by Bhushan.
2) Use the "Export -> Runnable Jar" in Eclipse 3.5 Milestone 6 with the "copy dependent libraries to a subfolder" option to create an ordinary runnable jar with a proper manifest referencing the dependent jar files (which are put in a subfolder). This works very well if you want a solution not using any tricks, but it is a bit hard to script.
