Yes it is a bit shorter but that is not the only advantage. The setState method actually maximizes the window just like when you click on the maximize button on your window.
When calling the setSize (setBounds) methods the window never gets in the maximized state (not even when you make it as large as the screen).
You probably meant to ask how to maximize JFrame. On the other hand, if you wanted to go into a "full screen exclusive mode", to do page flipping, active rendering, change the screen resolution and all that, that's in a separate part of the API: http://java.sun.com/docs/books/tutorial/extra/fullscreen/index.html