Native code compilers for Windows?

We’re developing a product that we’d like to offer as a download without the client needing to also download another 10 meg of JVM runtime. Anyone done any stuff with native code compilers on Windows? The app doesn’t have a GUI (uses HTTP), so there’s no need for Swing support.

I know that Excelsior have a product, but it’s unclear whether you still need to bundle a whole bunch of support DLLs there too. I’m told gcc also supports some kind of Java compilation via gcj, but is that going to work on Windows? Or will I need to bundle a whole bunch of Cygwin stuff with it?

Any war stories out there?