I have run Java applets on the n800... See This Post. I was using Jalimo, which contains GNU classpath stuff, which contains gappletviewer.

I was personally trying to get the java citrix client working, but it ends up it is way too slow. As Benson mentioned, there is no plugin to run applets in the browser yet (gcjwebplugin hasn't been ported), but that would probably create too much additional overhead anyway. However, I found that running gappletviewer with simple portlets seemed to work decent. If you have OS2007 still, you may want to look at PhoneME too.