How difficult is it to move from developing Java on Windows to developing on Linux?
You'll need to install an SDK. The SDKs available from Blackdown, Sun, and IBM are all good, but opinions vary about which one is the "best".
You can also develop using the command-line tools that come with the SDK, such as javac. People who grew up with Unix (like me) often prefer this to IDEs, but it's very much a matter of personal preference.