BlueJ is an integrated development environment created especially for new programmers learning Java. It's built to be easy to use, but also to provide powerful features to assist new programmers learn object oriented programming without headaches.
It shows a graphical representation of the classes and objects in a program. It also teaches the use of program comments for automatically generating documentation for the program. And this all happens easily without any hoops to jump through. It's just there, and it does its thing.
It also gives quick and easy access to the API documentation for Java, making it easier to use and get familiar with. Because the same documentation format will be used for your own programs, how this format works will become clear really quickly.
The BlueJ site has some great tutorials doing fun things with Java and BlueJ. There's nothing like doing interesting exercises to make learning easier.
When you're ready to move onward and upward, BlueJ can be used with NetBeans, a considerably more sophisticated, and complex, IDE for Java. So BlueJ is not a classroom-only dead end.
Learning to program has never been easier. The many resources for Java make it a great way to start programming. BlueJ is a big part of making Java a great place to start. Check it out.