Java VisualVM is a new JDK tool added since JDK 6 Update 7 (<JDK>/bin/jvisualvm). It provides a nice graphical user interface for monitoring and troubleshooting Java applications and integrates several troubleshooting features introduced in JDK 5 and 6 as command-line utilities into this single GUI tool.

I like their screencast that shows VisualVM in action. It should help you get started. I also embed it here for your convenience:

See also the Java VisualVM User Guide:
http://java.sun.com/javase/6/docs/technotes/guides/visualvm/index.html
VisualVM project page:
https://visualvm.dev.java.net/gettingstarted.html

Let the VisualVM team know what you think and any feature you'd like to see.