From the "I always forget how to do this, so here's a reminder for next time" files: Installing PIL with JPEG support on OS X - but without using Fink.
All the PIL documentation just says to install libjpeg using Fink. I'm not really into Fink, so I always flounder around for how to do it when installing libjpeg from source. The secret is that after you install libjpeg, also do:
sudo make install-lib
