Just zip for .apps. and tar.gz for Linux for examples.
For Windows we make our own .exe launcher that invokes the JVM natively. The Windows versions are shipped as NSIS installations. NSIS is great - and free.
We sign the Mac and Windows distributions or the OS or browser or antiviruses that infest many people's machines delete them before the user even gets to run them, or puts the fear on them with scary warnings.
In all cases we bundle the JRE inside the distribution. Never rely on system JREs (not even on Mac any more), and don't bother with a pure Java .jar release.