public static byte[] hexStringToByteArray(String s) {
    int len = s.length();
    byte[] data = new byte[len / 2];
    for (int i = 0; i < len; i += 2) {
        data[i / 2] = (byte) ((Character.digit(s.charAt(i), 16) << 4)
                             + Character.digit(s.charAt(i+1), 16));
    }
    return data;
}
Reasons why it is an improvement:
- 
Safe with leading zeros (unlike BigInteger) and with negative byte values (unlike Byte.parseByte) 
- 
Doesn't convert the String into a char[], or create StringBuilder and String objects for every single byte. 
- 
No library dependencies that may not be available 
Feel free to add argument checking via assert or exceptions if the argument is not known to be safe.