A Eurasian Jay having a good splash about in a woodland pool. Canon EOS 5D Mark III, EF300mm f/4L IS, 1/3200 sec @ f/4, ISO 640, tripod, hide.
Jays are one of the nicer-looking members of the crow family and make nice photographic subjects They're very partial to acorns, so you'll often find them in areas of oak woodland. Unfortunately, they can be quite tricky to photograph as they are very wary of people. I've had some limited success enticing them into an urban garden during harsh winters by attaching a small pot to the back of a scenic branch and filling it with peanuts. If you place the pot level with the tip of the branch, you should be able to get shots of the jay between mouth fulls. You'll need to refill the pot very regularly as many small birds, such as Blue Tits, will do their best to empty it. (If you are in an area inhabited by squirrels, you probably shouldn't bother to try this at all!). You'll typically need to keep this up for several days in an area where you know there are Jays before you get any visits from them.
A hide is pretty much essential for photographing Jays (even if it's only a throw-over bag hide). Putting the hide in place a couple of days before you plan to photograph helps get the birds used to it. You'll need to stay well hidden and wait quietly. I usually wear dark clothes, gloves and (often) a balaclava hat (that's ski-mask to American readers) to minimize the chance of being spotted through the hide opening. (Remember to remove the balaclava when you leave the hide - In my experience, walking around camouflaged and masked in public tends to make people react rather alarmingly!).
Longer lenses work best - ideally you need to be as far as possible from the Jay. Noisy camera shutters will usually scare the birds away so it's best to take single well timed shots rather than firing off bursts. If you're camera has a silent shooting mode, it's a good idea to use this (or even shoot on live view as most camera shutters are quieter in this mode). Watch the small white areas on the bird's tail and wings - it's easy to overexpose these. Setting the highlight alert option on your camera image playback should help you spot when to dial the exposure down. Jays are reasonably large birds, so be prepared to stop down your aperture a little to get more of the bird in focus - shooting at f/2.8 on a 300mm will get you a sharp beak but fuzzy eyes, try f/4 upwards.
Like most birds, Jays need to wash their feathers regularly. If you place a water tray on open ground near you peanuts you may find that the birds visit it after feeding. With a little vegetation around the tray to beautify the scene you can get some nice bathing shots.