I finally completed my Java Programmer Certification last week. I highly recommend “Sun Certified Programmer & Developer for Java 2 Study Guide- Kathy Sierra, Bert Bates“, ISBN 0072226846. It is actually a fun book to read, and covers all the topics.
I also, recommend to http://www.jchq.net/, maintained by Marcus Green, he has an exam simulator on his site (http://www.jchq.net/phezam/login.php), what you get on the actual exam will be very close to what you get in this simulator (In my case I got higher in the actual exam 🙂 no complaints there).
And you should also shoot some rounds at Java Ranch Rule Round up game http://www.javaranch.com/roundup.jsp