Space Invaders 101 An Accelerated Java 2D Tutorial. Created by Kevin Glass Probably the best place to start out if you are new to game programming.
Java 2D games tutorial that for example implements a pacman like game.
Java Game Dev tutorial Bit old and incomplete, but explains some concepts.
Java Game Dev tutorial Similar to the previous tutorial.
lucu guide for creating video games. Contains source code for 2D and 3D multiplayer games.
Shoot 'Em Up using LWJGL
Asteroids - 3D Rendering in Java using LWJGL
Ninja Cave Various tutorials for Slick2D and LWJGL
Content Generation for Programmers by AngryOctopus
webstart howto by Kevin Glass.