Since the last EAP build IntelliJ IDEA X provides an action to quickly create a single Jar artifact containing your modules with all dependencies. Just press ‘+’ button in the Project Structure dialog and select the appropriate item:
IntelliJ IDEA shows a dialog allowing you to customize the artifact:
After that you can build the Jar file using Build | Build Artifact menu item.
Note that by default all libraries are extracted to the target Jar. It became possible with addition of the new Extracted Directory element. Using such element you can extract a directory from a Jar file and place it into the output of your artifact: