JNLP files are just not an option. They don't accept relative codebase arguments in the .jnlp file, only on the command line. Since JWS wasn't designed to run applications this way, it is probably a hack that it even works from the command line. Moreover, since one has to pass command line options I'd have to create a batch file to call JWS to call my app... which is not pretty.
The bottom line is that there is no easy way to run non-web java applications using jogl.
The problem is with java of course, but jogl is going to continue getting a slew of bug reports and help requests originating from people moving the jogl.jar and dll's all over the place trying to get their apps to just run.
FYI, I've decided to use JexePack http://www.duckware.com/jexepack/ which is a $100 commercial program. It will bundle all the jars and dlls into one .exe so things just work. I didn't notice an opensource option (JSmooth, launch4j,..) that would work with JNI dlls.
I've attached my jexepack ini file for anyone intereted. It's pretty simple.