..on what you want to do. If you're going to stick only to JSP and Servlets, you're only looking to test applications and not distribute them to the world, etc., there's an excellent http/servlet server that is free, works great and requires no setup: LiteWebServer at http://www.gefionsoftware.com
. I use it for testing in-house. You don't have to configure connectors, etc. Easy.
For development you can look at eclipse http://www.eclipse.org
. I would recommend also investing (only $29.00 per year) on MyEclipse, which is an J2EE specific workbench that has greatly increased my productivity and learning curve (http://www.myeclipseide.com
Let us know if you need more help.