Netbeans and mobility pack are very handy tools for J2ME. They have loads of emulators  and also you can install your phone's vendor specific emulators as well. they will be picked up by netbeans.

This link can be a good  place for you to start http://java.sun.com/javame/reference/index.jsp

there are so many different aspects into J2ME which you will find out as you go along.