I prefer Eclipse, the next poster probably does not
For free IDEs I prefer NetBeans
Eventually I want to be able to make 2d rpgs. Although, I don't know if I need cool effects... but I want to be able to make the gui look good somehow.
Swing might not be the right framework for game GUIs. If you use Slick, there is SUI
and you probably want to have a look at Feng GUI
but haven't tried it's theming capabilities (the defaults look rather unappealing). To use it with Slick you need a wrapper: http://slick.javaunlimited.net/viewtopic.php?t=535