OK, so I've built some j2SE apps now, and I can "skin" them to look like whatever I want, but now I want to go further. Its always a "Windows" look even "skinned".
How do you make your apps really custom looking. For example there is a Java WinAmp clone called jlGUI that has a custom interface. Nero SmartStart is cool, too (even though it isn't written in Java that I'm aware).
You can use a java.awt.Window instead of a (J)Frame. That way your window has no borders. Then fire up Photoshop, and draw your GUI. Then draw the image into your java.awt.Window.
Then for your individual controls, you have several options. Use plain ordinary ones, if they don't look too bad. If they do, then you need to create a custom full or partial L&F for those individual components. It's not rocket science, but neither is it a walk in the park. This book is an excellent resource if you need to do any of this. The book even explains how to fake non-square windows!