We recently bought a Self-Signing Cert from Comodo through Tucow's Authors site. Through Tucows I was able to get a 3 year cert for $195—which is cheaper than a 1 year cert from either Thawte or Verisign.
I was expecting them to send me a cert via e-mail, but instead they install the certificate into the browser in which you purchased the certificate. From this point on Comodo doesn't offer any instructions on how to use the cert, so I had to do some research.
First, I'd recommend buying your cert using Firefox. If the cert gets installed into Internet Explorer, you need to jump through a bunch of hoops to generate the p12 file from the pvk format. Once you have your cert stored as a PKCS12 file, the steps for signing your Java Applet are pretty straightforward.
The instructions below show you how to sign an applet provided your personal cert has installed into Firefox. If you already have your p12 file, the you can skip to step 11(the directions use the filename of self-sign.p12 for the exported key.)
You should now see some output that looks like:
Keystore type: PKCS12
Keystore provider: SunJSSE
Your keystore contains 1 entry
[Alias], Jan 1, 2008, keyEntry,
Certificate fingerprint (MD5): hh:hh:hh:hh:hh:hh:hh:hh:hh:hh:hh:hh:hh:hh:hh:hh
The [Alias] is a string that might be look like a UUID (xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxx) or it could just be string of various text. The alias will be the part of the text up to the first comma before the date.
I highly recommend creating an Ant build.xml script for compiling and signing your JAR. The biggest benefit is once you get it set up, there's nothing manual you need to do.