You don't actually HAVE to take any training to do it. I think that most people just learn
java by reading books, experimenting and gaining more experience that way.
You can see the certification section of the Javaranch Bunkhouse
here for more information on books that deal specifically with preparing to pass certification tests. The book that most of the people on this forum keep referring to is the one by Mehran Habibi, and is typically referred to on this site as "Max's book", or the "Max DVD project" from his book. I believe Max bartended the
SCJD forum at one time and I also read somewhere he may be coming back at some point. His book is great.
Good luck!
TJ