Since so there are so many JIT implementation out there, every JIT emits native code. Then why hasn't someone made a tool like JIT2EXE, to save the native code to a native executable?
The question is kind of vague as you have not clearly specified what language you are talking about, in my area of .NET, the .NET executables are pre-jitted at runtime in order to speed up the loading times. The code can be generated to native code by a process known as NGEN which takes the .NET IL code and converts it in the process of a binary in which can be understood by the processor. Usually NGEN code are stored in the folder within 'C:\Windows\Assembly\NativeImages_{version}' where the version represents the .NET Framework version. Have a look here on CodeGuru by Jeffrey Richter, about NGEN and where it could be used and when to use it. Have a look here on Codeproject about this article on the statistics/comparisons with native binary code and also here as well by Daniel Pistelli.