You should probably start with the Collections trail from the Java Tutorial. This will give you a good introduction to the various data structures that are available with the Java API. For more online information, you can google for "Java Collections Framework" or something similar.
You should also check out the Java API documentation. This is the core documenation for ALL the standard classes. The classes in Collections Framework are primarily located in the java.util package. The documentation for these classes usually give the algorithmic complexity (Big-Oh notation) for the important methods.