Michal already figured out how to build JetGroovy from source. (Thanks Michal!) But if you're lazy, you can get JetGroovy here.
Installation: Download groovy.zip and extract it to IDEA_HOME/plugins, then start IDEA to fight ;-)
Note: This JetGroovy build ONLY works with IDEA 7 EAP build 7020. I'm not sure that it will work with other EAP builds (and of course it doesn't work with IDEA 6 or earlier)
If you have problem in downloading groovy.zip, please replace "us.share" in "http://us.share.geocities.com/t800t8/2007-06-21/groovy.zip" by "www". Sorry for inconvenience. (Yahoo suck!)
Update: I've just updated to IDEA build 7027 and JetGroovy doesn't work anymore. IDEA hangs while loading JetGroovy and there is no exception in log file.