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I came to my attention that the English "J" sound ( jet, joy, jump ) does not seem to exist in German, French, Spanish, or Finnish.

While the "ch" sound exists in many of these languages, the "j" sound, which seems to be a vocalized version of ch, does not appear to be present.

Am I mistaken? Is this consonant rare among languages? Or common and I just don't know about it.

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    It's not one consonant but two. For example, in Czech, it's spelled as "dž" and appears e.g. in "džbán" - which is, helpfully enough, "jug" (starting with the same sound). – Luboš Motl Jul 13 '16 at 16:35
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The English "j" sound is a voiced postalveolar affricate, transcribed in the International Phonetic Alphabet as /dʒ/. It is indeed the voiced counterpart to the voiceless "ch" sound /tʃ/.

The phones [dʒ] and [tʃ] are both fairly common, as far as affricates go. Voiced obstruents are generally less common than voiceless ones, and [dʒ] is less common than [tʃ]. I found the following article that describes some phonetic reasons for this tendency for sibilant affricates in particular: Phonetic explanations for the infrequency of voiced sibilant affricates across languages. Nonetheless, [dʒ] is still not really rare.

In fact, it may even exist in several of the languages you mentioned, depending on the variety spoken, and how you define what you mean by "the English j sound."

For German, Wikipedia says

/ʒ/ and /d͡ʒ/ do not occur in native German words but are common in a number of French and English loan words. Many speakers replace them with /ʃ/ and /t͡ʃ/ respectively (especially in Southern Germany, Austria and Switzerland), so that Dschungel (from English jungle) can be pronounced [ˈd͡ʒʊŋl̩] or [ˈt͡ʃʊŋl̩]. Some speakers in Northern and Western Germany merge /ʒ/ with /d͡ʒ/, so that Journalist (phonemically /d͡ʒʊʁnaˈlɪst ~ ʒʊʁnaˈlɪst/) can be pronounced [ʒʊɐ̯naˈlɪst], [d͡ʒʊɐ̯naˈlɪst] or [ʃʊɐ̯naˈlɪst]. The realization of /ʒ/ as [t͡ʃ], however, is uncommon.

So [dʒ] does exist for some speakers of German, although it sounds like it can be considered marginal. (I don't know if this is a perfect analogy, since I don't speak German, but you might compare its status to /x/ in English words like loch and Bach.) The voiceless sound [tʃ] (usually written tsch) has a more stable pronunciation and is more common, but I've read that even [tʃ] is rare in German compared to other sounds such as [ts].

For French, [dʒ] and [tʃ] can equally be said to exist or not exist. Normal native French words do not have either of these affricates, since historically they were simplified to the fricatives [ʒ] (usually spelled g or j) and [ʃ] (usually spelled ch). However, due to the influence of foreign languages, phonetic affricates [dʒ] (spelled dj) and [tʃ] (spelled tch) do exist in some modern French words, names and expressions, such as djaïn "Jain" and tchao "bye." It's possible that phonologically these can be considered consonant clusters composed of a plosive phoneme and a fricative phoneme, like /ps/ in psychologie or /gz/ in xylophone.

For Spanish, the phoneme /ʝ/ often sounds similar to English /dʒ/. Wikipedia's article on Spanish phonology says that in standard Castillian, this phoneme is realized as an affricate [ɟʝ] after a pause or after a nasal or lateral consonant. This is very similar phonetically to [dʒ], and I believe some Spanish dialects do just use [dʒ] (in others, [dʒ] has been changed by lenition to [ʒ], which may then be devoiced to [ʃ]).

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    Excellent answer. And now that I think about it, Portuguese pronounces the "j" the same way we do (Well ... as close as I can tell...) – AgilePro Jul 9 '16 at 23:38
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    @AgilePro: What I've read is that the Portuguese letter "j" is generally pronounced as a fricative /ʒ/, like it is in French. The English-style affricate /dʒ/ does exist in some varieties such as most Brazilian Portuguese, but it occurs in the pronunciation of the letter "d" before the sound /i/ (for example, the word "grande" may be pronounced /ɡɾɐ̃.d͡ʒi/). – ewawe Jul 11 '16 at 4:02
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UPSID is the best basis for guessing such relations, and [dʒ] appears in 26.6% of languages (if we include aspiration variants). [tʃ] no the other hand appears in 46% of languages and [dz] variants appear in 11% of languages. Types of [d] appear in about 53% of languages. The voiced uvular plosive [G] appears in only 3% of languages, and I would say that counts as "rare". If you have affricates (which are less common) then it will almost always be a post-alveolar; voiced stops are less common than voiceless stops. So what you see is the product of two lower-frequency facts.

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This is normal consonant, as you mentioned, it is the voiced version of "ch". Besides voicity it (like "ch") can exist in soft and hard variants.

For hard version of it Serbian and Macedonian use Џ џ letter, Tajik uses Ҷ ҷ letter, Azeri Cyrillic uses Ҹ ҹ (Azeri Latin uses "c" in some positions), Khakassian uses Ӌ ӌ, Gagauz and Moldovan (Romanian Cyrillic) use Ӂ ӂ, Udmurt uses Ӝ ӝ, Kalmyk and Turkmen use Җ җ.

For soft version of it, Serbian uses Ђ ђ (Đ đ in Serbo-Croatian Latin), Altai uses Ҹ ҹ, Tatar uses Җ җ, Macedonian uses Ѓ ѓ (in Macedonian it is an allophone of another consonant though)

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    For non-Slavicists, soft means 'palatalized', while hard means 'non-palatalized'. In Irish, which has two sets of palatalized and non-palatalized consonants like Russian, palatalized consonants are called slender, while non-palatalized ones are called broad. – jlawler Jul 8 '16 at 22:37
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This Article gives a (non-exhaustive) list of languages that have that sound. As you can see, it is present in a large number of languages both in Europe and outside of it, and this page can offer a rough* estimate on how frequent it actually is, appearing in about a fourth of languages in the database. The voiceless version (the English 〈ch〉 sound), is significantly more frequent, but that is to be expected, since many languages don't distinguish between voiced and voiceless consonants at all (Finnish is almost an example), and those that do often limit this distinction to stops only.

*Just to be clear, there are several issues one should keep in mind when evaluating the correctness of these numbers: the extensiveness of the database, how representative its sample is, and the editorial decisions made while compiling it (which phonemes fall into which IPA bin).

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