This week's giveaway is in the EJB and other Java EE Technologies forum. We're giving away four copies of EJB 3 in Action and have Debu Panda, Reza Rahman, Ryan Cuprak, and Michael Remijan on-line! See this thread for details.
Yeah, there's not a lot of sites out there that offer free study material.
It's best to get the SCJP book, and then work through every example. I took some notes while studying for the exam - you might find them useful.
It's not a tutorial site, it's more like notes meant for last minute cramming the day before the test. For that, they were very useful.
There is one bit in there I'm particularly proud of - the multithreading explanation in section 9, explains multithreading in a way everyone can understand - at least, everyone with a big family.