I prefer Eclipse - it's a common used IDE for professional developers:
Eclipse Indigo for Java Developers[
^]
The other one that is pretty common is Netbeans :
Netbeans SE[
^]
Choose which you want to use, both are free. You can also use both - but they require their own project settings, so they don't interact to well. Most of us use one of them.
Please also make sure you have got the latest Java JDK 6.30 on your system:
Java SE Development Kit 6 Update 30[
^]