Install ZeroMQ on ubuntu with Java Binding

First install all required tools to build zeromq library

sudo apt-get install libtool autoconf automake uuid-dev build-essential pkg-config

Once you have required tools install download zeromq source code and make a build

 #Download latest zermoq source code http://zeromq.org/area:download   
 #I tried it with zeromq-3.2.4.tar.gz (http://download.zeromq.org/zeromq-3.2.4.tar.gz)   
 $ zeromq-3.2.4.tar.gz  
 $ tar -zxvf zeromq-3.2.4.tar.gz  
 $ cd zeromq-3.2.4  
 $ ./configure  
 $ make  
 $ sudo make install  
 $ cd ../  

This will install zeromq libraries at location "/usr/local/lib" you may like to set this path with "LD_LIBRARY_PATH" so that the libraries will be used at the time of execution. If you are setting LD_LIBRARY_PATH from .profile, or /etc/environment then you will it is not getting set refer.

Generate Java binding refer official documentation for more details
http://zeromq.org/bindings:java

 $ git clone https://github.com/zeromq/jzmq.git  
 $ cd jzmq  
 $ ./autogen.sh  
 $ ./configure  
 $ make  
 $ sudo make install

At the end you will find zmq.jar generated at location /usr/local/share/java/zmq.jar


Updated Note : 

With latest version of available you may get following error

checking for sodium... no
configure: error: Package requirements (libsodium) were not met:
No package 'libsodium' found

You may not require this package, so install it with it to do that run configuration with following option

./configure --without-libsodium