TextPad is terrible...but it's supported by a few Universities. But being just a text-editor, you do learn the Java API classes quite a bit better. For actual development...
Eclipse all the way! I've not used Visual Studio and didn't even know it was capable...but Eclipse was built around Java, and all the bells and whistles to go along with it, so I doubt it stands a chance.
One thing to note, there are no .exe's in Java... well, not in any usable way. You just need the runtime environment and a Java version of 'exe' - .jar. A somewhat good explanation
here.