I'd resist doing all of the constants for a system in one place. You'll make it hard to reuse any subset of your system without dragging that whole constants class along.
You can usually find them a home along with the classes that really need them. For example, if you have a set of constants for log message severity they probably belong on the Logger class or in the logger package.
Also look into Enums. In
Java 5 and later they can replace some constants like those severity levels in nifty ways.
[ March 07, 2007: Message edited by: Stan James ]