Well, personally at first I found the jMonkeyEngine to be a trifle difficult to get into, so first I experimented with Java3D... allows you to import .obj and .lwo out of the box, and there are several jars out there that allow you to load 3ds and ms3d files... I just made a model viewer, and added new features until i had a fully functional 3d environment, and once I get the time for it again, I'm probably going to go ahead and learn the ropes with jmonkey and its brand new great-looking
IDE based on NetBeans.
Be advised that, to make something good in 3d, you need the models, so unless you have peeps that do that for you, get Blender or something and first learn that.