I've just come across this site, and it's great. I'm using a portable jEdit at the moment. Here's my method:
1. I copied the jEdit program files to E:\apps\jEdit.
2. I created a 'settings' directory in E:\apps\jEdit.
3. I created a shortcut with the target set as "E:\apps\jEdit\jedit.jar -settings=E:\apps\jedit\settings". This means that all jEdit settings, installed plugins, etc, are stored here, instead of the "system specific" default location.
The main problem with this method is that it's possible my USB drive won't be E on another computer. If that's the case, I'll have to change the shortcut accordingly.
I think this would be a good one to add to the list of official apps. It should be quite simple to do, I expect. I don't know if it being a Java app will make it any more difficult.
Edit: I realise my dir structure isn't the norm for PortableApps, so if someone wants to write the NSIS, change the settings directory.