Java VisualVM is a new JDK tool added since JDK 6 Update 7 (<JDK>/bin/jvisualvm). It provides a nice graphical user interface for monitoring and troubleshooting Java applications and integrates several troubleshooting features introduced in JDK 5 and 6 as command-line utilities into this single GUI tool.
I like their screencast that shows VisualVM in action. It should help you get started...
