IDE stands for Integrated Development Environment. An IDE groups together all the tools needed for programming in one environment. It provides a way to edit, compile, debug and test programs.
Here is a useful list of Java IDEs. They are in NO specific order!
Eclipse
This is a very good and open source IDE. It is used a lot commercially and personally. It was made in Java so it's cross-platform. It has a lot of support for additional plug-ins to extend your developing needs. What I love about Eclipse is that it compiles your code as you type. It highlights compiling errors and mistakes like how MS Word does for mis-spelled words.