Java IDEs currently used by choice in the XPUtah group are (in alphabetical order to not show a bias!)
Eclipse: http://www.eclipse.org/ and IntelliJ: http://www.intellij.com/
We prefer these because they have good code completion and at this time the best list of refactorings. Refactoring support is an important, if not essential tool, for doing XP development.
These IDEs also include an extensive list of features common to IDEs, including good source-level debugging.