From a strictly computational point of view the Mac JVM seems decent - sometimes faster than Sun’s windows VM, sometimes slower, depending on what you are testing, e.g. floating point appears to be slightly faster, but some of Java Cool Dude’s demos (e.g. cloth) run very very slow. So it is hard to get a good idea in general until you actually run your app.
Where it really sucks for games is the graphics. The graphics routines are significantly slower on the current Mac VM (1.4.2_03). There is no hardware acceleration. Use JOGL or LWJGL. For now I would have to recommend JOGL (sorry Cas :)), because LWJGL has some significant compatibility issues on the Mac platform. Xith3D works well.
Given that the Apple Java team has been playing catch-up for a while to get a 1.4.2 release I am hoping that now they will have a little more time to do some optimizations that they didn’t have time for before… I could be dreaming though, cause they might be swamped with work on 1.5 so they aren’t ‘behind’ again when Sun releases it. They are working on bug fixes for their current 1.4.2 JRE as I understand it though, so maybe some performance enhancements are in the works too.