Free:
Ewe [not Java] http://www.ewesoft.com/
Semi-Free (tutorials cost money):
SuperWaba [not Java] http://www.superwaba.com.br/en/default.asp
Pay (the java virtual machine costs money):
J2ME
If I were you, I would start with downloading Ewe and trying the
tutorials. Not to discourage you, but programming mobile devices is
really really really hard. If you are new to Java, (which it sounds
like) you're much better off programming for your desktop.
Try RoboCode (http://robocode.sourceforge.net/) instead. You'll learn
a lot without being frustrated by the details of mobile development.
-Randall