Yes, but not really. You can take all your dependencies, unpack them and simply merge them into a bigger jar. This is what the maven jar plugin does if you make a jar with dependencies. The only problem is that this might result in conflicting files (suppose two of your dependencies contain a log4j.properties). This is one of the problems when doing the above with some of the spring libraries for instance.
I think someone actually wrote a classloader that allows you to bundle the whole jar inside of your jar and use it as is. I'm not sure how mature that is though and can't at the moment recall the name.
I think you're better off distributing all your dependencies separately. Setting up the classpath is a bit of a pain but surely java programmers are used to it by now. You can add dependencies to the Class-Path header in your manifest file, in simple cases. Bigger libraries have to rely on the classpath being set up for them though.
As to the second part of your question, probably dropping the conf/ directory under META-INF is enough for its contents to be picked up. I'm not sure about this. I'm fairly sure it will always be picked up if you put its contents at the top level of the jar. In any case, this is a distribution problem. You can easily have a conf/
directory inside your source tree and have your build scripts (whatever you might be using) copy the files in it to wherever is most convenient.
As to your users configuring. Try to establish some conventions so they have to configure as little as possible. For things that must be configured, it's best to have a basic default configuration and then allow the user to override and add options through his/her own configuration file.