Java SE Downloads
I had to go to Sun's Java SE Downloads web site to download Java, which is not available via the Ubuntu installer. I considered using one of the open source Java SDKs intead but I make extensive use of Java 1.5 features which are not yet I think well supported by non-Sun compilers.
The installation is not quite as magic as the Windows installation but it is fairly convenient. You get a self-extracting file that you execute. This simply unpacks the Java SDK into a directory. I just left the SDK directory as a subdirectory of my home directory. No root access needed; no messing around with system areas needed.