Take some time to check out the Presentations,Tutorial and Workshops area.  There are lots of very nice ways to start learning about building rich clients.

Extreme Swing

Swing is the most powerful Java GUI  toolkit in existence.  You can do things in Swing that other toolkits like SWT are busy trying hard to reinvent.  It has also turned into a fast performing toolkit.   If you are looking for the one, best presentation on building desktop Java applications that is both an overview and specific and comprehensive in scope - look at this great presentation.  This presentation was given by Romain Guy  with an introduction by Alexis Moussine-Pouchkine.  If you are into desktop Java - this is a stunningly beautiful description of the state of desktop Java and some wonderful details about specific features that every developer will be interested in.  Note that there are a number of parts to this. Covering everything from an overview of the state of Java on the desktop to specifics about building extreme Swing applications. Some great extreme Swing presentations exist - such as this one. Another extreme Swing presentation exists here. More recently Guy Romain and Chet Haase presented a talk, Filthy Rich Clients, at JavaOne 2007 - you can see and hear the talk here. There was a nice Extreme GUI Makeover talk at JavaOne 2007. Chris Campbell, Shannon Hickey and Romain Guy provide an excellent talk that you can watch and listen to here. At the 2006 JavaONE Conference, Scott Violet, Shannon Hickey and Romain Guy provided a talk on making Swing apps rock in the talk Extreme GUI Makeover: Lookin Better. Another key talk at JavaONE 2006 was Andy Herrick and Thomas Ng's talk,  Deployment Tips and Tricks for using Java Web Start and Java Plugin Software.

JavaONE Audio Presentations

Select to see presentations 2007 Writing Testable UIs Beans Binding Swing in a Multithreaded World Java 6 Platform, Java DB, Swing, JNLP/WebStart, Java Persistence API (JPA)/Enterprise JavaBeans (EJB) 3: The New 'Operating System' for Rich Internet Applications Extreme GUI Makeover Modular Programming with the NetBeans Platform Swing Vector Graphics Designing Scalable High-Performant Rich Clients from the Trenches Sexy Models! An API for Declarative Data Models on the Desktop Filthy Rich Clients : Talk Dirty To Me Easy Deployment is Finally Here Write a 3D Game in the Java Programming Language in Less than 50 Minutes Desktop Java Technology Form Follows Function (F3) 3D Earth Visualization with NASA World Wind Why Spagetti is Not Tasty: Architecting Full-Scale Swing Apps Bringing Life to Swing Desktop Apps Being Productive with Swing The Swing Application Framework The Last Mile to Desktop Java Technology One Million Applet Downloads a Day Search Inside The Music: Using Signal Processing, Machine Learning & 3D Visualizations to Discover New Music Writing Games with Project Darkstar Swing Vector Graphics Swing Vector Graphics 2006 Desktop Patterns and Data Binding Dos and Don'ts for Swing Apps Filthy Rich Clients: Animated Effects in Swing Rich Apps High-Performance GUIs Deployment Tips and Tricks for Using Java Web Start and Java Plug-in Web 2.0: Next-Generation Communities With Rich Java Technology-Based Applications Extreme GUI Makeover: Lookin' Better Desktop Java Technology Today: Deep Dive Best Practices: Data Binding Eight Ways to Be More Productive Developing Swing Applications Large-Scale Client Deployment Using Java Web Start Software A Simple Framework for Desktop Applications User Interface in XML : The JAXX Framework It's Not Over Till the Fat Client Sings Best Practices: Data Access Strategies Swing Threading 101: An Introduction to the Event Dispatch Thread Testdriving the Rich Client Platforms Java Technology on the Client