If I am using a Java XSL transformer, and am running the transformation
from a JAR, is there any way to construct URLs in <xsl:import> and
<xsl:include> such that the external stylesheet will be picked up?

There is a jar: URL schema which is recognized by Suns implementation
of java.net.URL, therefore Java based XSLT processors running on
SUN JVM should be able to grok something like
 <xsl:include href="jar:file:///foo/bar.jar!/com/sample/baz.xsl"/>
or even
 <xsl:include href="jar:http://jar.sample.com/foo/bar.jar!/com/sample/baz.xsl"/>
I havn't triefd myself, but look at
 http://javaalmanac.com/egs/java.net/JarUrl.html?l=rel