I use Eclipse.
http://www.eclipse.org/
Many people here recommend that you learn how to compile and run programs through the command line before you move on to an IDE, though. You might want to read an online tutorial on how to do that.
http://www.cs.swarthmore.edu/~newhall/unixhelp/debuggingtips_Java.html
Eclipse is very good. But when I was a noob I found the prospect of compiling and setting up Eclipse a bit daunting.
I started with MyEclipse, an 'out of the box' product ready to go for around $50, with a 30 day evaluation 'try before you buy' period.
As well as J2EE projects it also supports JSP / JSF and spring etc.
Worth a look.......http://www.myeclipseide.com/