Serethos: Jeode is pretty close to a J2SE SDK. So you do you development on a standard PC, keeping in mind of course that you'll deploy to device with a much lower resolution.
One of the cool things I've done (not created) is running J2ME midlets on my PocketPC. This is made possible by using Jeode as a JVM and then running me4se on top of it. The latter is an emulation layer for running J2ME code on top of a J2SE runtime. This also allows you to develop J2ME midlets on a standard J2SE development kit.