This week's book giveaway is in the OCMJEA forum. We're giving away four copies of OCM Java EE 6 Enterprise Architect Exam Guide and have Paul Allen & Joseph Bambara on-line! See this thread for details.
On the page How to Use Icons the supported formats are listed in the first paragraph. It is repeated at the bottom under the header The Image Icon API, first section Setting, Getting, and Painting the Image Icon's Image, top box on the right. The newer ImageIO class offers more flexibility in formats. Support for the bmp and wbmp formats was introduced in j2se 1.5 and gif support came in j2se 1.6 For an introduction see Loading and Saving Images With the Image I/O Library. It shows you how to determine which formats are supported in your version.