I have released a fresh snapshot of GCJ 3.2 for MinGW which has much better support for the Java Native Interface (JNI) and can create native SWT-based GUI applications. Finally the dream can now also be realised on Windows!
For those who came in late, SWT (the Standard Widget Toolkit) is a free Java GUI toolkit that is an order of magnitude faster and more responsive than Swing and was created by the great folks who brought us the super-cool Eclipse IDE.