On Windows
You could simply place an executable item in the users Startup folder, see Run a program automatically when Windows starts for more details.
This will require to supply a short-cut (which can launch the jar using java.exe) or a batch file or a executable wrapper, like exe4j or launch4j for example.
On Mac
There are a few places to look for startup items:
Items can launch upon startup from the following locations:
System Preferences > Accounts > yourusername > Login Items
(Lion users: System Preferences > Users & Groups > yourusername > Login Items)
/Library/LaunchAgents/ and ~/Library/LaunchAgents/
(Lion users: In Finder, click Go > Go to Folder > then enter the path)
/Library/StartupItems/
(Lion users: In Finder, click Go > Go to Folder > then enter the path)
This assumes that the application has been bundled as an application bundle. See Packaging a Java App for Distribution on a Mac and Java Application Bundler for more details.
There may be additional requirements in the pinfo files that I've not highlighted, but these are the basics. This is not an area I have experience in, but something I've done a little bit of research into
Take a look at:
For more details