Java is an object-oriented, cross platform programming language developed by Sun Microsystems. Amongst the many benefits is the ability of the java programs (or applets) to be seamlessly integrated into web pages - the user doesn't need to know about java or be doing anything special to surf web pages containing java code.
.
When you download a web page containing applets the java code as well as the html element of the page is transfered. This is analogous to when an image/graphic is download. The applet executes without the need to compile the code or install the program (the only proviso is that you are running a relatively recent version of your web browser that is java compatible - e.g. Netscape 2.0 or Internet Explorer 3.0). Since the applet is running on your computer there is a great potential to use this to allow a high degree of (fast?) interactivity without taxing the user.
.
Simple applets are animation sequences, more sophisticated examples are interactive simulations or games. Some sites havee a wealth of applets examples. Gamelan is "an Internet directory and registry of java-based programs and resources for developers and users of java".
.
Java is similar to C++ in style and those familiar with C++ will have relatively short learning curve in moving to java. It is more robust and safe in that access to the operating system is restricted.
.
In the process of java code and running it Java is both compiled and interpreted. The java code is saved as a *.java file and then compiled into a *.class file. This class file cannot be run directly (like *.exe files) but requires a java virtual machine - this being either a standard component of the browser versions mentioned above (for applets) or as a separate environment (for stand alone files).
.
Follow this link for IBM's course in Java. Also see Yahoo and WebCrawler has a page on ActiveX & Java with many links.
ActiveX
Microsoft's interactive technology for the web. Built as a successor to OLE technology (that has allowed spreadsheets to be edited from within word processed documents) ActiveX components can be programmed in a variety of mediums (e.g. java, visual basic, C++) and used either stand alone or as web components. Unlike java ActiveX is currently restricted to Microsoft operatings systems (i.e. Windows) and their Internet Explorer.
JavaScript & VBScript
JavaScript allows a programmer to respond to and act upon a limited range of system events - such as a mouse click. The VBScript is the JavaScript competitor that utilises a restricted version of the Visual Basic language.
Applications
There are a number of web based simulations that can be viewed as example applications. These applications show the ability of the user to interact with the web page. An examples could be in education were a web page has been set up to teach people the fundamental principles of a manufacturing system. Explanatory text and diagrams could be supported by applets - models of a simple manufacturing system. The user can interact with the manufacturing model to test the effect of increasing the rate of the arrival of parts to be processed or making the machine processing times more variable. The user can explore and experiment thereby the applet (or collections of applets) can assist in the user's learning process.

(Information from www.strath.ac.uk)