I've had trouble satisfying the fortran dependency as outlined in the jblas wiki.
In particular, on two different 64-bit ubuntu machines I can successfully apt-get install libgfortran3 and yet this call still fails and prints the link to the jblas wiki page:
apt-get install libgfortran3
(incanter.stats/linear-model [1 2 3] [4 5 6])
I had the exact same "problem" a few minutes ago, and thus found this report.
It turns out that /tmp should NOT be mounted with the noexec option.
The error message tries to be helpful, but is a bit misleading in this case; perhaps it should also mention that jblas tries to execute stuff from /tmp.