Sure, plenty of us have done it. It's pretty straightforward if you follow Sun's installation instructions. The only "gotcha" is that you almost certainly need to uninstall the "kaffe" JVM which is installed by default in RedHat, first. If you are not sure how to do this, first do "man rpm", then if it's still a mystery, ask us again here and we'll help if we can.
Im just a greenhorn, but they I have successfully installed j2sdk 1.3/1.4 on many diffrent distros of linux. I download the Linux GNUZIP Tar shell script, (just becase i dont liked rpms) and then executed the script with: sh j2sdk-1_4_0-linux-i386.bin or ./j2sdk-1_4_0-linux-i386.bin this will create a directory in your current directory named j2sdk1.4.0 or to that effect. then you may move this directory to where ever you like. ( I like to place it here: /usr/java/j2sdk1.4.0) then i modify my PATH to include the bin subdirectory of j2sdk directory. thats it!