You’re going to get a lot of two cents from people, and this is one of those things that 10 different people will have 15 different opinions about. There isn’t any single correct path, so part of it is trying different things out and figuring out what you like the best.
Like others have said, libGDX is pretty much the go-to Java game development library. One of its major perks is that you can deploy as a Java jar (which can be converted to a platform-specific executable), or to Android (or even iOS through RoboVM), or even as JavaScript/html5. The awesomeness of this cannot be overstated.
Some people prefer to work at a slightly lower level, which means more “work” but more control over what’s going on under the hood. Those people would recommend LWJGL (which libGDX is built on top of) or JOGL (which is pretty much just a Java wrapper of OpenGL).
However, all of the above require an intermediate Java knowledge: you need to understand the basic syntax like if statements, loops, etc. But you also need to understand things like OOP, different data structures, etc. For that reason, I personally don’t recommend that you start out with LWJGL or libGDX.
Instead, I highly recommend you check out Processing. Processing is built on top of Java, so you’re learning all the right syntax, but it’s also designed to be very easy to get something visual and interactive (like, say, a game) up and running without worrying about a lot of setup.
Like SauronWatchesYou said, I run a little website called Static Void Games that has a bunch of tutorials designed to take somebody like you from Processing and into Java, with the goal of “graduating” to something like libGDX. You can check out the tutorials here if that sounds like something that might help you.