imho, the only way to really learn is by doing. start by typing in example programs you see in books and online. don't just cut-n-paste sample code, type it in yourself. get used to how the code looks and writes, and you'll begin to be able to think that way.
java tutorial on sun's website is a good place to start (bonus - it's free). then start buying books in areas you are interested in: swing (gui) devel, network programming, applets, graphics, etc.
oreilly's java enterprise bookshelf cd is available online (for now...):
http://www.unix.org.ua/orelly/java-ent/
"java in a nutshell" - available at the above link - is a good intro to someone with experience in other programming languages.