A colleague of mine passed me this great link, which details the differences in API support between the different versions of Java, including J#. This is a great resource if you're considering moving your Java application to J# 2005, as it will tell you exactly which packages will give you a headache.
It is also worth mentioning that if you're working with Visual J#, the Supplemental UI Library is a must. This library includes an implementation of several Swing classes and packages, plus some support for additional classes added to the java.util.* package since JDK 1.2 (remember that J# supports the JDK up to 1.1.4). This Supplemental Library is already included in the Microsoft Visual J# Version 2.0 Redistributable Package.
And don't forget that there's a Visual J# 2005 Express Edition as well!!