Sun One Studio Community Edition is also very good. It also is heavy on resources, but provides lot of features for easy programming such as drag-and-drop of window controls, automatic code generation for event triggers, etc... Available at Sun website
BlueJ is good but I dont think it has the code generation and drag-and-drop features in Sun One Studio...
I have heard Eclipse and Netbeans are also good but I havent tried them...
Arun