I've done something similar in our project.
First, you have to define how do you want the table to behave when selecting merged cells. We've used Excel as a model. Generally in Excel, when a merged cell becomes part of the selection, the selection is automatically expanded to include all merged cells that are part of it. I'd suggest to experiment with Excel first and then precisely formulate the goal, or devise your own set of rules from scratch (however, I'd say there are not so many alternative, yet internally consistent solutions around). Be sure you cover all possible configurations of merged cells, otherwise a layout that was not accounted for might pop later on and you'll be redoing it all from the start.
(Another option might be to draw merged cells as partially selected, but it would somewhat defeat the goal of having them merged in the first place.)
Second, with the rules firmly set, you'll have to intercept the inner mechanism of navigation and selection in a JTable and implement the rules. This may be even more work than overriding the painting, since the relevant code is spread across several methods and most of them you normally don't need to touch.
At this moment I'm not able to give more specific suggestions. It's been a few month since I've done this, and parts of the navigation were done by a colleague that since left. However, I might be able to help with specific problems you may encounter in the future.
Examples that were posted in your
thread on OTN might also help.