Mustang SE 6.0 currently in beta has a number of desktop integration improvements, most noticably the native platform API calls to leverage native platform UI look and feel. In addition to this, on the Windows platform there is a tighter integration with Windows desktop features, for example, splash screen support, SysTray support and ability to interact with Internet Explorer.
DevX have an article on their site that demonstrates these new features, complete with a downloadable demo to illustrate the new features.
The current Java SE 6 beta can be downloaded from here.