As of Java 1.7, there's a new way: java.nio.file.Files.write
import java.nio.file.Files;
import java.nio.file.Paths;
KeyGenerator kgen = KeyGenerator.getInstance("AES");
kgen.init(128);
SecretKey key = kgen.generateKey();
byte[] encoded = key.getEncoded();
Files.write(Paths.get("target-file"), encoded);
Java 1.7 also resolves the embarrassment that Kevin describes: reading a file is now:
byte[] data = Files.readAllBytes(Paths.get("source-file"));