From the command line (DOS / Unix / whatever):
javac
- compile a class: creates .class file(s) from .java file(s). Remember: there is no linking step. No .EXE.
java
- execute a class (or javaw
- alternative that hides the console window)
javadoc
- automatic documentation of your code!
jar
- archive classes and packages (zip format - you can use jar to create .zip files)
keytool & jarsigner
- digitally sign jar files, for security
All come as part of the JDK. There are others but these are the most useful.