First you'll need to make sure you have a suitable Java runtime environment on your system. Ubuntu has openjdk in the official repo which is 99.99% combatible with Oracle Java, to install it type:
sudo apt-get install openjdk-7-jre
Next create a file called
~/.local/share/applications and put the following contents in it:
Name=Java Application Launcher
Exec=/usr/bin/java -jar %U
Next add the following line in
Now you should be able to just double click jar files to launch them, if nothing happens then right click on a jar file, select properties then go to the "Open With" tab and there you should see "Java Application Launcher", select that.
This method is prefferable (IMHO) because this way you are not giving execute permissions to jar files which can be potentially dangerous. This method will only work in a graphical environment and needs the user to manually double click on the file.