I wanted to get the output from the built in Midi synthesizer but could not do that without using cables or external programs.
Then I found Gervill which is supposed to be a better and also open Midi sequencer/synthesizer that can do this and also use soundfonts. It is also pure java.
http://java.net/projects/gervill/pages/Home
I might take a closer look at this but I would like to hear from you first!
Has anyone of you used Gervill and what did you think of it?
Edit: I have now tested Gervill a lot and it is very good!