I definitely recommend the Java 2 Study Guide by Kathy Sierra and Bert Bates. I used several books when studying for my exam, and this was easily the best. They make reading a technical book enjoyable! Also the sample exam questions are very similar to the questions you will see on the exam.
I would also recommend downloading a few of the free study guides available on the internet. You can find some good resources in the Programmer Certification Study FAQ (link is on the javaranch.com homepage).
Finally, one of the best things you can do is to actually
do the practice exercises and problems you find in whatever study resource you decide on. Research has consistently indicated that a combination of reading as well as doing significantly improves retention. (Don't believe me? Send me an email and we can debate cognitive psychology to your heart's content!

)
“Programming today is a race between software engineers striving to build bigger and better idiot-proof programs, and the Universe trying to produce bigger and better idiots. So far, the Universe is winning.” - Rich Cook