You can, multi platform installation authoring tool could create one for you. For example, InstallAnywhere, it'll create a windows executable for you java application.
Sun was a company who follow the 80/20 rule, they get most important things to work but never make it work well. For example, compare java plug-in for browser detection and install to adobe flash. Flash was fast and easy many years ago, while java plugin often forward you to sun site, and that's it.
Back to the executable, the java model is write once, run many, when Sun decide to provide a launcher, they will have to provide it for all platform. For example, a windows JDK would required to provide launchers for windows x86, ia64, amd64, linux/unix can share a launcher since they all use share shell scripts. Then the question is, does sun show a packager for mac? It just doesn't fit in, you should definitely look into tools like installanywhere and install4j, they all include java launchers.