(I\'ve asked the same question of the jmeter-user mailing list, but I wanted to try here as well - so at the least I can update this with the answer once I find it).
This is a hint rather than a proper answer: A cursory glance at Google results seems to suggest that the exception is usually caused by the code forcing the use of a default SSL socket factory that on purpose throws the exception when createSocket() is invoked on it. What some of the results seem to suggest is that the issue sometimes happens due to a bug in certain version in Java 6, or when the incorrect path or password is provided to the keystore.
So, I'd say, try using Java 5. Also, try pointing JMeter to a well-known site that uses proper SSL certificates. This way you could test the self-signed certificate hypothesis.