Java applets (for little applications) can perform a wide variety of functions. They can be used for:

• utilities, such as calculators or clocks
• text effects
• graphics effects
• games
• and much more...

Advantages

• Platform independent
• Download quickly because they are compact
• Don't require helpers or plug-ins

Disadvantage

• Don't work with all browsers (for example, AOL)
• Can cause strange behavior that is difficult to de-bug

Applet Sources
If you want to use applets, you can generally obtain already produced applets from an outside source such as The Java Boutique or Gamelan.

Generally, you would download the class file and place it in the same directory as the HTML page that calls it.

For do-it-yourself-ers
If you really want to develop Java applets yourself, you can obtain the Developer's kit from Sun Microsystem's Java site.

Also recommended: "SAMS Teach Yourself Java 1.2 in 24 Hours" by Roger Cadenhead, Sams Publishing, 1998.