The JFC Swing Tutorial: A Guide to Constructing GUIs by Kathy Walrath and Mary Campione, Addison-Wesley, also available online at http://java.sun.com/docs/books/tutorial/uiswing/index.html.
Our favorite bookmark within the Swing tutorial, the visual index of the various Swing components, is at http://java.sun.com/docs/books/tutorial/uiswing/components/components.html.
If you want a better understanding of layout managers, we recommend this tutorial by Jan Newmarch at Monash University in Australia: http://pandonia.canberra.edu.au/java/xadvisor/geometry/geometry.html. Don't let the mention of AWT scare you away. Almost all of the layout managers (except BoxLayout and SpringLayout) are actually from AWT, and they all apply to Swing.