If you don't have any IDE for developing in Java, you may want to download "NetBeans IDE + J2SE SDK", else, if you want only the SDK, then I would suggest that you download " J2SE v 1.4.2_05 SDK includes the JVM technology". Both at http://java.sun.com/j2se/1.4.2/download.html .
If you are looking for a free IDE tool, think eclipse is a good choice. Eclipse 3.0 is available for download now at Eclipse Release Build 3.0 Download. It is a core of IBM WSAD, which is a reason why I chose eclipse in starting my Java journey as I am from IBM i-series background...
I think it depends on your level of experience with Java. As an instructor, I have found that my students learn better working in a plain text (notepad, vi, etc.) rather than an IDE. My suggestion is, if you are a beginner, just stick with J2SE SDK and work in a text editor. This way you can learn the language without having to learn the IDE at the same time. When you are familiar with the language, then move on to an IDE for easier development.
tim: I agree to tell the beginners to use an editor, because the compiling, jaring, launching needs to be understand, and is often hidden by an ide.
But you can not use notepad!
If the editor supports syntax-highlightening, I don't think there is something wrong with. And you need of course linenumbers. And save as 'HelloWorld.java', not 'HelloWorld.java.txt' I suggest 'scite' as fast and lean and openSource editor.