Do you want to run Java without a JVM? As far as I know, in order for a Java program to run it needs a JVM, even if it's in exe form. Take the Eclipse IDE as an example. It has an .exe version in Windows and a local-binary executable for Linux (there's no application extension in Linux). However, this is just a "dummy program" which runs Java similar to how a batch file or command script would by starting the JVM and running a jar file. Eclipse will not function without an installed JVM.
The only way to technically run Java without a JVM is on specialized hardware which would treat Java Bytecode as assembly code. I think such hardware exists on some mobile devices, but I'm not positive as many times it's just a JVM ported over to another hardware architecture (for example Android).
If you want a native application, best to start out with a natively implemented language like C or C++. For Java applications you're likely better off sticking with JAR files, web-start apps, and applets.