JFrame.setTitle() won't change the Windows title. Nothing is displayed at all.
One can use this tiny little proggy to expose this issue:

import javax.swing.JFrame;
import javax.swing.JLabel;

public class HelloWorldSwing {
  public static void main(String[] args) {
    JFrame frame = new JFrame("HelloWorldSwing");
    final JLabel label = new JLabel("Hello World");
    frame.getContentPane().add(label);
    frame.setTitle("Test title");
    frame.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
    frame.pack();
    frame.setVisible(true);
  }
}

The problem shows up only with this realease (Client):

java version "1.5.0_14"
Java(TM) 2 Runtime Environment, Standard Edition (build 1.5.0_14-b03)
Java HotSpot(TM) Client VM (build 1.5.0_14-b03, mixed mode, sharing)

but *not* with the corresponding 64-Bit VM (Server):

java version "1.5.0_14"
Java(TM) 2 Runtime Environment, Standard Edition (build 1.5.0_14-b03)
Java HotSpot(TM) 64-Bit Server VM (build 1.5.0_14-b03, mixed mode)

It also works fine with 1.6, haven't checked with dolphin yet.

OS is:
Ubuntu 6.10 - the Edgy Eft - released in October 2006.
Linux baldur 2.6.17-10-generic #2 SMP Fri Oct 13 15:34:39 UTC 2006 x86_64 GNU/Linux

One additionl hint might be the fact that more sophisticated Swing programs like NetBeans show this at statup:

/usr/share/themes/Human/gtk-2.0/gtkrc:70: Engine "ubuntulooks" is unsupported, ignoring
/usr/share/themes/Human/gtk-2.0/gtkrc:240: Priority specification is unsupported, ignoring