For anyone that is, like me, working their way through an introductory text on Java right now and using gedit or notepad, I highly recommend installing BlueJ. At the moment I'm doing the Inheritance and Polymorphism exercises in HF Java, and within the first three lines of code I was hooked. It will take a few minutes once you install it to read the introductory pdf (39 pages), but about halfway through you will have all you need to know to get started (and the second half I didn't understand yet anyway...).
So, that is my $0.02. Give it a try, you'll love it.