If you are using version 3.2, you need "jboss-common-client.jar" on the cp.
Adding jboss-common-client.jar to the classpath did not solve the problem.
The class is IN jbossall-client.jar, but, for some reason the InitialContext is unable to find it...is this some kind of security error, maybe?
I was running javaw using my java_home j2se installation. The JVM was looking for these classes in its own jre/lib/ext installation, even though they appeared in the -classpath directive on the command line.
Adding jbossall-client.jar to the jre/lib/ext folder AND removing all old jboss client jars solved this problem.