I can also recommend eclipse because it really helps you in formatting your code (I've read that you must be absolutely conform to the java formatting convention) and helps you adding javadoc comments. Auto completion is also nice Eclipse offers much more but the points above (for me) are the interestings one regarding the SCJD
I prefer eclipse (www.eclipse.org). It takes a bit to get used to and I would recommend the O'Reilly Eclipse book as well.
If you need something quick and easy, Edit Plus (www.EditPlus.com) is good, it does a lot of syntax highlighting for Java and allows you to customize Tool Buttons to perform compile (javac.exe) and run actions (java.exe).