I always think, you can't go wrong with a good book. Anyway...
Why not take a look at the
JavaRanch Cattle Drive for starters.
Also, I had a cursory look at the google results for
"programming exercises" and found
this online book with exercises and solutions.
No idea if it's any good, but it does seem to match your criteria.
[ March 07, 2005: Message edited by: Horatio Westock ]