I tried Ewe and it is very easy to get started. It has a GUI called Jewel which makes it easy to wrap the application into a single package. You can even wrap the Ewe VM into the package to create a CPU targeted EXE file. Very nice indeed.
I havn't done any actual benchmarking, but there is a compare between Ewe and pJava/Jeode on
www.ewesoft.com and Ewe is much faster and tighter.
There is also SuperWaba which I havn't tried yet. Both Ewe and SuperWaba are based on Waba which is a Java clone for small devices (like cell phones).
I'll put my money on Ewe though, since it is targeted for PDA devices. (money is a figure of speach, since Ewe is free!)