In many cases it is preferable to distribute your application via webstart instead of an applet. With webstart the user clicks a link and a status bar pops up and the java program is downloaded and run like a java application. No need to click a jar file, everything is handled by webstart and the game is run as soon as it has finished downloading. It has many advantages such as full screen support, more memory and is faster than applets.

But for those who want their game to be embeded like a flash game you will have to use an applet.

To reiterate the caution from the first section on this page, applets have a fixed amount of available memory that can not be increased by the programmer (unlike, for example, a webstart application where you can set your max memory size.) Thus, you are stuck with whatever the user has setup in their Java control panel - typically 64MB-96MB. So keep your object creation and retention as low as possible.