If you want an easy way without need of third-party apps:
Launch AppleScript editor
Write the following:
--do shell script "java -jar /Contents/execute.jar"
I commented that line out because we have yet to put the jar there. Save as application. Now Right click on produces .app file -> Show Package Contents, go to Contents and drag the .jar file there. Now go to Resources -> Scripts -> main.scpt and open that. Now remove the double dash (
--), compile and save.
If it doesn't launch, try executing in terminal
chmod 777 <path to jar file> simply drag the jar into Terminal.
For macOS Monterey (12.5) and other recent OS the tool is now called "Script Editor". Once you have a working script, saving as an Application makes it executable. This app has been around for decades, and was originally called AppleScript editor.