Updated 22 June 2016
One of the important changes in this release 3.3.0 of R is the use of a new toolchain for Windows. Unfortunately, for packages written in C++, the new toolchain is incompatible with the old one. So I had to build a new version of JAGS for use with R 3.3.0 and above.
When you upgrade to R 3.3.0 or higher you will need to remove the current installed version of JAGS (using the Control Panel) and run the JAGS-4.2.0-Rtools33.exe installer. Then you will be able to install the binary rjags package from CRAN.
If you continue to use R 3.2.5 or earlier then you should not use the new installer but should continue to use JAGS-4.2.0.exe.
Q: Why is this important?
A: If you install a version of JAGS that does not match your R installation then the rjags package will spontaneously crash.
Q: Why is this happening?
A: The Rtools compiler creates binaries that are statically linked to the C++ runtime. This is good because it means that R does not need to ship with a dynamic link library (DLL) for the C++ runtime (avoiding DLL Hell). It is harmless for the vast majority of R packages that are completely self contained. However, it is a problem for packages that need to interface to an external C++ DLL. Both the R package (e.g. rjags) and the external DLL (e.g. JAGS) must be compiled with the same compiler.
Q: This is a bit awkward isn’t it?
Yes it is awkward for JAGS users. However, in terms of the management of R packages this is a minority issue. As far as I know, the only other R packages affected are the ones that interface to SYMPHONY, gdal, and QuantLib.