While I agree that knowing how to use the command line for compiling and running is quite beneficial, I wouldn't extend that to debugging, especially as jdb is very basic. For a great standalone (i.e., not integrated in an IDE) debugger, check out JSwat.
Ping & DNS - updated with new look and Ping home screen widget
I vote "no" for Eclipse and NetBeans because my source windows are a shared, small window-pane. I like larger overlapping windows.
BlueJ was terrible. I couldn't even type in a package declaration without choosing a menu to do everything for me. Too much hand-holding can be restraining.
I'm trying JSwat, but it told me that I don't have Java 5.0 installed, but I do (by the way I'm running Mac OS 10.4.8).
The JSwat web-site said that it works with all platforms.
The best Java IDE that I've found to suit me is Apple's XCode. It's free and it has features that I like, like overlapping winows, and you have freedom to be in control of the IDE. The main drawback of the XCode IDE is that it is not cross-platform. The .java files are of course, it's just the .project file that isn't cross-platform.