Well there is Project Builder. It will let you develope normal Java apps and I belive it will let you develope applets. You can't develope them totaly graphicaly but its some times better than just the pure terminal.
There is also Sun's Forte for Java, which you can get from http://java.sun.com. There is no Mac OS X port, but the *nix port will work.
I hear tell that JBuilder is coming to OS X too, but im not sure about that.