Check out the IDE forum
here, lots of discussion about this. Looking through there, along with Corey's link to the other IDE discussion going on here in Beginners, you should get several leads to some good IDE's.
Personally, I use JCreator LE. It's lightweight, free, has some nice features, but doesn't do anything "behind the scenes" to get you confused. The standard version that you can purchase has some extra features like code completion, but personally I'd rather learn the methods myself instead of relying on an IDE, because who knows what you might be stuck with next time. Plus, it never hurts to always have the API's open for reference, you learn more that way!