I am going to start off talking about java.sun.com but I will end up on
some other resources, so hang in there.

www.thejavatutorial.com which links to
http://java.sun.com/docs/books/tutorial/ actually does cover everything,
although before you hang your head with frustration I would like to say
that I know what you mean, when I first started learning java  I didn’t
learn too much from their either.

If you want to look at a physical book (which helped me) you can check
out Sams: Java in 24 hours. This book is pretty good for basic
knowledge, but once you upgrade from it you never use it again. So it is
good and bad, both at the same time.

For an online references do a web search for Thinking in Java third
edition. I lost my direct link to it, although I bet someone on here
might have a link for you. Thinking in Java goes right though everything
and will help you learn  how to understand  the tutorials on Sun, just by
getting used to the style of language they use.

Other than that, the best recommendation I can think of is to find a
class somewhere that teaches programming. While Java is a really strong
language to learn how to code on (and awesome for enterprise stuff to
boot), don’t let that be your only limiter when choosing a course. If
you can not find a Java course but you can find others, some languages
can teach the basic  concepts of programming  at near levels to Java (such
as C#). Before anybody jumps on my head with their hatred of Microsoft,
C# isn’t bad, (although I don’t think it is as rad as Java), but it
follows a lot of the solid advantages of Java at least in concept.