You can use the GCJ compiler (or some other compiler) to create native code -which would be executable on machines without a JVM-, but that won't be cross-platform any more.
And of course gcj doesn't comply with the standard, so a LOT of code will not work with it (think Swing, AWT, multithreading, Collections API, etc. etc. etc.).
It's also possible to bundle a JVM/JRE along with your application, which is perhaps good enough for your purposes. Can someone elucidate or give pointers that describe the easiest possible way of accomplishing this?