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.