I wrote an article on jdk 1.4 logging for the javaranch newsletter a couple of months back. Java's built-in logging is not as feature reach as log4j and they are not interchangeable. But jdk 1.4 logging is probably good enough for most applications.
As Thomas mentioned log4j is more feature rich. I would say a lot depends on how important logging is to your application. If it's mainly a debugging tool then either one is good enough. If you plan to log a lot of stuff in production and need a fancy logging mechanism, I would say go ahead with log4j. Both the libraries are stable enough for basic needs, but in case you run into a problem/bug you are more likely to get help from the log4j community. Of course there are no guarentees as to whether your problem will get fixed but with log4j the source is there for you to hack. The release cycle for log4j is also much shorter than it is for the jdk. HTH Ravi