The recommended choice of development environment for Java is the Sun ONE Development Studio, formerly known as Forte for Java. It is backed by Sun, the creator of Java, and is freely available. It is written entirely in Java, therefore you can run it on any OS and platform for which JDK is available, including Unix, Linux, Windows and Mac. See the Sun site for more information: http://wwws.sun.com/software/sundev/jde/index.html
An alternative is Borland's JBuilder. We've had negative feedback on this product from our users in the past.
Microsoft's Visual J++ (version 6 and the .NET version) is not compatible with the new language specifications and therefore is not recommended.