The coolest IDE I've found is CodeGuide (www.omnicore.com). It does on the fly error checking (very cool!), code completion, debugging etc. My other IDE experiences:
* Visual Age - Sucks, slow, anoying, corrupt repositories
* Visual Cafe - Buggy but ok, no code completion on compiled classes
* Borland JBuilder, version 4 looks really promising, JSP debugging and other cool enterprise features.