Why not compile Java for Windows?

Since most Java applets run on PC platform, why not offer a compiled version of Java directly run in Windows without JVM? Users can still use standard Java via JVM, it's just a performance enhancement.

That would negate the entire purpose of the java development program. Notice how you asked the question, "...since most...!" That should indicate to you that not all OS's are windows platforms and the purpose of java is to provide a language that can be interpreted(or used) by all OS's. Just because a person can program doesn't mean they will be using a computer that will be of the Intel based family of mpu's. By doing what you suggest would restrict many programmers work to that platform, not to mention the compatibility of browsers and OS's to decypher the programmers intent. 

We can still use standard Java through JVM. Because some Java programs are just like windows applications without involving multiple platforms, a compiled version for windows doesn't hurt, it only provides users with one more choice. I'd like to know how much performance gain a compile version can offer, if someone could do a benchmark test. 

Actually, the reason why you don't see compilers for Java is that the language is not yet stable. By the time somebody creates a Java Windows compiler, a new version pops out of the hopper at Sun. It takes a lot of time and testing to get one done correctly, so it is just not yet economically profitable. You can find some compilers around, but if you look closely, you'll see they are mostly based upon one of the older JRE's. In one benchmark comparison at JavaOne, a presenter showed that compiled C++ code ran 6 times faster over Java 1.2 for the simple stuff. As more complex operations were invoked, C++ was running at many multiples faster. The JIT compilers have reduced some of the apparent slowness of Java when multiple passes through the same code are considered. If you really need the speed, you might consider writing your stuff in Java and then running a Java to C++ converter. It's a lot of steps to go through, though.