For MySQL, the MXJ connector makes it very easy to launch a managed MySQL instance.
I know that Oracle provides Oracle XE for quick setup, but I've only found an RPM distribution that needs to be installed. Is there a neatly packaged jar that I can just drop in the classpath and start up by calling a specific JDBC url, a la HSQLDB or MXJ?
I'm interested in having developers use this locally for running tests, as well as on our continuous integration server.
The short answer is No. Oracle is a big meaty chunk of database. Amongst other things, it generally expects itself to be run by its own special user rather than the client user.
For simplicity, your best bet is a separate DB server with each of your developers having their own username/password (and hence their own independent schema) in the database.