Medusa, python web server framework, consumes only about 4-5 meg to run.  Best embeddable Java-based web server I could find was Bejy, weighing in at 277K disk and 6-8 meg memory.  That is really good considering Bejy supports Servlets 2.3, JSP 1.2, and SSL.  In comparison, Jetty, a popular embeddable Java web server, need 1+ meg disk and 16+ meg memory.  Only downside to Bejy seems to be that its not open source and only available for non-commercial use.

JSP is not good for desktop webapps because JSP requires Java compiler.  Are there any JSP engine that generates Java bytecode directly?  In theory, all you need is a bytecode generator tool like Apache's BCEL and some duck tapes.  If not, template languages like Velocity makes more sense for desktop webapps.