Are you looking for a progress bar that is really showing the time left or maybe how long something has taken already?
It would be pretty easy to start a timer and have it call a method which updates your display. Timers run on the event dispatch thread, so updating your GUI would be safe.
I have a program that seems to takes a long time to process/calculate information. In stead of having a blank screen I wanted the user to understand that the program is working.