Mario,
I was also a Cold Fusion / ASP developer, and I've been a Java programmer for a year now. In the beginning, Java can be overwelming with EJB,
JSP,
Servlet,
Struts,
JDBC, JNDI... So what I decided to do was to stick to J2SE in the beginning ( 'plain Java' ), read a whole book, got certified. After that, I had an idea of what is what, so could go on studying just specific points as needed.....
I worked ! Im a huge Java fan now. After that, I was selected to be part of a huge Java project in the company I work for and the interface of the application is XSL, and that's what Im trying to learn now...