The most important thing to learn when learning Java is the general concepts of Object-Oriented programming. If you don't learn this type of stuff NOW, you will develop bad habits that will take a ton of work and years to overcome.
Two major things to keep in mind (in addition to the above stuff)
1) DON'T BE AFRAID TO MAKE A NEW CLASS IF YOU THINK IT MIGHT BE A GOOD IDEA. I cannot stress this enough. There's a general 'fear' of making new classes, making more files etc. and instead try to do everything in your main class. DON'T LET THIS BE YOU.
This will make more sense after you read:
2)
http://java.sun.com/docs/books/tutorial/java/concepts/