As was said earlier, all java programs are multi-threaded since the garbage collector among other things runs in its own thread. Run any java program with the -Xprof option to see just how many threads there are.
Multithreading adds to complexity and can lead to bugs that are random & really hard to track down.
Also, keep in mind that for games the performance bottleneck is usually in rendering but Java2D takes care of this by using the computer's 2 processors - the CPU & GPU - and you get this by default without even knowing it! It will be cool when Graphics cards are multi-cored.
Interestingly, on my dual-core 2.8GHz box my 2D game runs 40-100% faster in software mode than in accelerated DirectDraw mode, with the Java2D OpenGL pipeline being slightly slower (but the Mustang J2D OGL pipe line is faster than software mode