This tutorial from Sun gets you started:

wireless.java.sun.com/midp/articles/wtoolkit/

It's meant for wireless applications, but it doesn't have to be
wireless. It starts you with a "Hello World" type of application.
You can choose from a number of venues to run your application on
from cel phones to handhelds like the palm. You name it, they have
an emulator for it. For the Palm, you have to download the emulator,
the "skin" for the particular handheld you are using, and the "ROM
image" all available free from Palm.com. I set it up for my Win98
machine, and it worked like a charm.

There are some other java  like applications like Waba and SuperWaba,
that might be helpful, but I think thier popularity is fizzling out.
I would stick with J2ME. If you do a google.com search for Waba or
Superwaba, you should find a sight for them.

Finally, I like the book "Core J2ME Technology & MIDP" by John W
Muchow. It's published by Sun.