JavaFX is part of Oracle Java for Java 7 update 6 and later for Windows, OS X and Linux.
JavaFX 2.2 is currently available as a separate download for Windows for some versions of Java not including JavaFX (Java 6 and Java 7 versions before update 6).
JavaFX is not available for OS X 10.6 (Snow Leopard).
JavaFX is not available for Java versions prior to Java 7 update 6 for OS X or Linux.
(This answer refers to the current JavaFX 2+ version, not the obsolete JavaFX 1.x version - use of the obsolete version is not recommended).