JExpress: The advantage of creating a JVM bundle is that you can have the JVM installed as a subdirectory of the installation directory. And, you have the option of not having the Windows registery changed. Additionally, the JVM installed by JExpress does not modify the user's browsers to use java which means that you'll install a much more secure configuration of java than most third party JRE installers. Follow these instructions to create a JVM bundle.
3rd party: The advantage of including a third party installer of the JVM is that you don't have to have access to each platform to create the JVM bundle. And, any special configuration that the 3rd party installer implements is handled for you. On the other hand, it is more invasive to the end users machine and with Java's recent security issues you may want to use the bundled JVM.Learn more.