I started off by reading the book Sun Certified Programmer & Developer for Java 2 Study Guide (Exam 310-035 & 310-027) by Kathy Sierra and Bert Bates. You can find this book at Amazon through the following link: http://www.amazon.com/exec/obidos/tg/detail/-/0072226846/qid=1104248393/sr=8-1/ref=sr_8_xs_ap_i1_xgl14/002-5072318-0647209?v=glance&s=books&n=507846
After reading each chapter, I took each quiz at the end of the chapter. After that, I skimmed through the book again making some flashcards. Then I began studying online -- taking as many mock exams as I could find. I also read over Dan Chisolms notes/tutorials that he has online and took some of his mock exams. I read information online that I wasn't fully understanding so I could get a different perspective on things. I also spent a lot of time on javaranch soaking up as much knowledge as I could. Then about a week and half before the exam, I re-read the K&B book again to rehash everything I had learned. I took the quizzes at the end of the chapters again, and took the quizzes provided on the CD that accompanies the book. The night before the exam, I took Marcus Green's Mock Exam #2 (1.2 version, just skipped the questions that would be on the 1.2 exam and not on the 1.4 exam). I scored an 88% on that, and then looked over some notes for the rest of the evening. The next day I scored a 93% on my actual exam.
Looking over all this, I'm sure I could have passed with less preparation, but I wanted to go in KNOWING that I would pass.
Hope this helps you out!