First of all, you could try gripping the jar between your knees. Put a cloth over your hands or even try wearing rubber gloves, so you can use more force without hurting your hands, and give a good pull. If it still won't budge, you can turn the jar upside down and bash the lid a few times on a hard surface; this often loosens it. Still no luck? You may be able to shift it by sliding a spoon or similar under the seal and running it round the rim of the jar. Or hold it under a very hot tap (don't burn your fingers, though!) for a minute or two.

If you often get this problem it may be worth buying a jar opener.

The final trick, of course, is to hand it to someone else - who can always open it with no problem! (but only because you did all the work first, of course...)