Core maven doesn't handle this. Maven is a build tool, its work is to build an artifact (a jar in your case). Dependencies you define in your module's pom.xml file are needed to get the code compiled. You'll need maven plugins to do so.
Now, you're asking not about the build, but the distribution of your compiled binaries.
If I understand it should be a lot of jars (your and your dependencies). Alternatively you may distribute the code as a jar + dependencies inside.
Example:
A first case:
If your code resides in module A (say, the code is in packages org.a.*) and depends on some thirdparty (say, log4j, whose classes reside in org.apache.log4j) than you can expect that you jar will only contain the classes of module a and you expect that the log4j will be added by the user of your module automatically (The first case).
A second case:
module a.jar will contain both org.a.* and org.apache.log4j.* classes, everything in the same module.
In general the first approach is more "healthy" and in this case you shouldn't do anything in maven. Maybe your distribution tool/documentation should contain this information.
If someone uses the module a in his/her code like a thirdparty (if you develop a framework or something) and if his/her project is mavenized, than the fact you've defined a dependency on log4j will make the maven to download the log4j as well as your a.jar (In maven notation, this is called "transitive dependencies").
If you're interested in the second case (this can be relevant if you define some "client application", like "jndi client for some server" for example) you might want to take a look on Maven shade plugin
Beware this can lead to dependency hell (what if the application that uses your client also makes use of log4j? what if the log4j-s are of different version)/
Bottom line, you probably want the first approach, think twice before you decide the second approach :)
One more tip, if you just want to download all the dependencies of your module "a" you might want to use maven dependency plugin - type the following in the command prompt
mvn dependency:copy-dependencies
and you'll find all the dependencies in target/dependencies folder
Hope this helps and happy mavening