The big difference between a Java application and a Java applet is the lack of security restrictions. Java applications are given free reign over the system (although they can't get around the operating system's security). A Java application is free to open a socket connection to any host it wants, open any file, and create its own custom class loaders. If you have been banging your head against a wall because you couldn't do these things in an applet, you might be tempted to turn your applets into applications (in other words, make them stand-alone) so you can have all these features. That is, of course, your choice. But you should seriously consider keeping the user interface and the application separate. For some quick hack program that isn't very significant, it probably won't matter. However, if you're writing a big commercial application, it does matter. There are many advantages to being able to run applets in a browser; one of the biggest advantages is that the browser performs automatic software distribution for you. You don't have to install the applet on a system ahead of time in order for someone to use it. If you start writing everything as a stand-alone application, you fall back into the old trap of trying to maintain a program on a large number of machines.

Java's database API, called JDBC, is a boon for application programming. You now have a standard interface for accessing a relational database. JDBC frees you from being tied to a specific database API, meaning you not only can create cross-platform applications, you can also create cross-database applications.