I'd also recommend Sun's JRE, but because jview (Microsoft's Java runtime) is supposedly 'standard' on Windows you will occasionally find things that will not run on anything else. This is particularly true of javascript, which was never a proper standard anyway, but also affects Java applets which decide that they have to restrict themselves to a certain level of JRE (especially online banking applications and the like). Kind of defeats the idea of Java, but there you go - and you will seldom, if ever, get a useful error message to help you work out why the blasted thing isn't working. Alliance & Leicester obviously believe that "java.io.ObjectStreamException" is a good way of telling users that they are running a Sun JRE when they should use jview...
In general, however, Sun's JRE is far, far better than jview. The MS version hasn't been updated for years - it's still Java 1.1.4 IIRC, which Sun took out of service sometime last century
. Sun are shipping 1.4.2, with 1.5 on the horizon.