Best approach for GPGPU/CUDA/OpenCL in Java?

AFAIK, JavaCL / OpenCL4Java is the only OpenCL binding that is available on all platforms right now (including MacOS X, FreeBSD, Linux, Windows, Solaris, all in Intel 32, 64 bits and ppc variants, thanks to its use of JNA).

It has demos that actually run fine from Java Web Start at least on Mac and Windows (to avoid random crashes on Linux, please see this wiki page, such as this Particles Demo.

It also comes with a few utilities (GPGPU random number generation, basic parallel reduction, linear algebra) and a Scala DSL.

Finally, it's the oldest bindings available (since june 2009) and it has an active user community.

(Disclaimer: I'm JavaCL's author :-))

You may also consider Aparapi. It allows you to write your code in Java and will attempt to convert bytecode to OpenCL at runtime.

Full disclosure. I am the Aparapi developer.