It really depends on what you want to do:
Game Oriented 3D SceneGraphs
Java3D - robust, old, poor performance in the past but appears to be shaping up again.
) - Java3D like syntax with considerbly better performance. Pretty stable but the community backing seems to be dwindling slight (just my observation). Documentation is very good as is project support.
) - A seperate scenegraph with a considerable feature set oriented towards game. Performance is good and the community is strong and interested. Stability at times can be an issue since the product is under rapid and constant development.
) - The commercial player, an engine designed for first person shooters (from what I've seen). More details on their website, I've not seen any community projects using it.
All the above have model loaders of varying degrees. They all feature integrated sound APIs. Xith and JME have some sort of ODE Physics integration though JME's is considerably more advanced.
Java2D itself works reasonably well since you can just draw images and refresh the screen.
) - A wrapper round Java2D giving you sprites, sounds and a high res timer. Well used and liked though development has slowed down and I've not seen a project using it directly for a while.
) - A relatively new engine which is well recieved thus far. Its still under development and hence doesn't have many example apps other than those provided by the author. It supports an abstraction over the top of Java2D and OpenGL.
) - This is a brand spanking new one that might well turn out to be quite nice, looks good to start with though it doesn't seem to be too feature rich just yet. Development is current.
) - The Shaven Puppy Games Library - used to create a couple of commercial games by our very own Cas. Extremely powerful engine over the top of OpenGL. A right git to use. No public releases and no documentation or support (unless you ask Cas very nicely).