Install JEdit for your particular platform. Once installed, launch the JEdit application. Using the top-level menu open Plugins > Plugin Manager... switch to the Install tab and select Clojure and Clojure Shell. Click Install.
You can start a REPL with Plugins > Clojure Shell > Open Clojure Shell. In that submenu you will find other useful common commands.
Select Plugins > Console > Commando... In the window that opens select clojure from the drop down menu. You will see various options for running the current open file. Click Ok and your file will be run with those JVM settings.
Syntax Highlighting & Auto-indentation
First determine the platform dependent location of JEdit's mode files. For example, on OS X this will be ~/Library/JEdit/modes. Download Daniel Spiewak's Clojure mode file. Put this in the your modes directory. You also need to edit the catalog file in your modes directory. Make it look like the following:
You may need to restart JEdit.