Frankly, (especially if you're not running Windows) just use the command line + notepad/other text editor. Installing the command line tools is much more annoying under Windows, but it gives you a better idea of what's going on than "IDE magic". Sun has tutorials
here that can walk you through that, regardless of OS.
If you /really/ want to use an IDE, I'd recommend Netbeans. It's reasonably easy to use and also free.