Probably JLabel would be fine, since you can just call setIcon() and get the icon onto the JLabel. You'd have to do this in the DropTargetListener or whatever that was attached to the JLabel. ( It's been a while since I've worked with Drag 'n Drop... so I'm not sure if this name (or mechanic) is entirly accurate.)
Take a look at the info on Drag 'n Drop over on Sun's website for more information.
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