How to install a specific JDK on Mac OS X?

I want to install a specific JDK (the latest for example). For this, I went to the JDK download homepage: http://java.sun.com/javase/downloads/index.jsp. I looked for a Mac version, but I'm a bit surprised to only see downloadable versions for Linux, Windows and Solaris...

Here's the message for Mac:

"Apple Computer supplies their own version of Java. Use the Software Update feature (available on the Apple menu) to check that you have the most up-to-date version of Java for your Mac."

OK BUT... when I update Java with Mac I have a JRE and not a JDK...

I don't understand why a JDK version doesn't exist that is easily downloadable/installable (like a jar to unzip?) for Mac...

In a comment under @Thilo's answer, @mobibob asked how to set JAVA_HOME in your .bash_profile on a Mac. Answer:

export JAVA_HOME=`/usr/libexec/java_home` 

This will dynamically assign to JAVA_HOME the location of the first JDK listed in the "General" tab of "Java Preferences" utility.

See Apple Technical Q&A 1170: https://developer.apple.com/library/content/qa/qa1170/_index.html

EDIT:

If you prefer parentheses to backticks for command substitution, this also works:

export JAVA_HOME=$(/usr/libexec/java_home)

As the message says, you have to go to Apple, not Sun, for Java on the Mac. As far as I know, Apple JDK 6 is installed by default on Mac OS X 10.6 (Snow Leopard). Maybe you need to install the developer tools from your Mac OS X installation DVD (the dev tools are an optional install from the OS DVD).

See: http://developer.apple.com/java/

NOTE This answer from 16 Oct 2009 is now outdated; you can get the JDK for Mac OS X from the regular JDK download page on Oracle's website now.