On a few machines, you may have a noticeable performance hit by using GLJPanel rather than GLCanvas or a native window.
The trouble is if you specify OpenGL pipeline (to get higher performance rendering due to not having to copy buffers the whole time) sometimes rather than a performance hit, you get a complete failure to render any graphics. So unless it's acceptable for the application to only work on specific machines, that's one to avoid. The new compositing stuff sounds promising.
op: If you take a look in the JOGL demos I'm sure there's some examples with GLSL.
If only all threads got such a positive response